Feedback optimal control for stochastic Volterra equations with completely monotone kernels

DOI10.3934/mcrf.2015.5.191zbMath1327.45013arXiv1112.3818OpenAlexW2021936430MaRDI QIDQ888788

Fulvia Confortola, Elisa Mastrogiacomo

Publication date: 2 November 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.3818

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationbackward stochastic differential equationssemilinear evolution equationfeedback lawmonotone kernelsstochastic Volterra integro-differential problem

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Other nonlinear integral equations (45G10) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Existence theories for optimal control problems involving relations other than differential equations (49J21) Random integral equations (45R05)

Related Items (2)

Optimal control for stochastic Volterra equations with multiplicative Lévy noise ⋮ Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels

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