Probabilistic solutions of integral equations from optimal control
Fredholm integral equations (45B05) Theoretical approximation of solutions to integral equations (45L05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for integral equations (65R20) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)
The author gives a probabilistic interpretation of the solution to a certain inhomogeneous Fredholm integral equation of the second kind which originates from an optimal control problem for autoregressive processes of order 1. Then he uses this interpretation to obtain an approximated solution of a generalization of the integral equation. He also compares the approximated solution with the one obtained by the classical Neumann series in various particular cases. In his examples, the constructed approximated solutions are better than the ones obtained with the classical Neumann series and the convergence may be even faster.
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