Speaker
Fulvia Confortola
(Politecnico di Milano)
Description
We deal with stochastic optimal control problems for integral stochastic Volterra equations in a finite-dimensional setting. The noise term is driven by a pure jump Lévy process and the control acts on the intensity of the jumps. We use the machinery of Laplace transform to lift the original control problem in a suitable infinite dimensional space large enough to contain all the information about the history of the process and we solve it by using the approach based on forward-backward stochastic differential equations. Under this approach, we prove the existence of the optimal control for the original problem. The talk is based on a joint work with Stefano Bonaccorsi.