scientific article

zbMath1208.60054MaRDI QIDQ3574219

Jiong-min Yong, Shu-ping Chen

Publication date: 9 July 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal controlduality principlestochastic integral equationslinear quadratic problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Duality theory (optimization) (49N15) Stochastic integral equations (60H20)

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Impulsive stochastic Volterra integral equations driven by Lévy noise ⋮ Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems ⋮ Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations ⋮ Linear quadratic stochastic integral games and related topics ⋮ Stochastic Volterra integral equations with a parameter ⋮ Linear quadratic control problems of stochastic Volterra integral equations ⋮ Approximate representations of solutions to SVIEs, and an application to numerical analysis ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Variation of constants formulae for forward and backward stochastic Volterra integral equations ⋮ Infinite horizon backward stochastic Volterra integral equations and discounted control problems

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