Linear-quadratic stochastic Volterra controls. II: Optimal strategies and Riccati-Volterra equations

DOI10.1051/cocv/2024036MaRDI QIDQ6562465

Yushi Hamaguchi, Tian Xiao Wang

Publication date: 26 June 2024

Published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

zbMATH Keywords

linear-quadratic controlRiccati-Volterra equationstochastic Volterra integral equation

Mathematics Subject Classification ID

Feedback control (93B52) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Linear integral equations (45A05)

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