Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems

DOI10.1137/20M1371464zbMath1498.93791OpenAlexW4291964315WikidataQ115246874 ScholiaQ115246874MaRDI QIDQ5097389

Tian Xiao Wang

Publication date: 23 August 2022

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

Full work available at URL: https://doi.org/10.1137/20m1371464

zbMATH Keywords

maximum principlesbackward stochastic Volterra integral equationslinear quadratic control problemsdual principlesbackward stochastic Volterra integro-differential equationstime inconsistent optimal control problems

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic integral equations (60H20)

Related Items (2)

On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ Stochastic maximum principle for moving average control system

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