Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels

DOI10.1137/100782875zbMath1244.93172OpenAlexW2121746244MaRDI QIDQ2903502

Stefano Bonaccorsi, Fulvia Confortola, Elisa Mastrogiacomo

Publication date: 10 August 2012

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

Full work available at URL: http://hdl.handle.net/11311/662706

zbMATH Keywords

optimal feedback controlsemigroupbackward stochastic differential equationstochastic Volterra equations in infinite dimensions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Volterra integral equations (45D05)

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