Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems

DOI10.1137/19M1298287zbMath1477.45004arXiv1911.01903OpenAlexW3154212049MaRDI QIDQ4990315

Huyên Pham, Eduardo Abi Jaber, Enzo Miller

Publication date: 28 May 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.01903

zbMATH Keywords

linear-quadratic controlstochastic Volterra equationsintegral operator Riccati equationinfinite-dimensional Lyapunov equation

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Optimal stochastic control (93E20) Volterra integral equations (45D05) Abstract integral equations, integral equations in abstract spaces (45N05) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

The Laplace transform of the integrated Volterra Wishart process ⋮ Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations ⋮ On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay ⋮ Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge

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