An analytic approach to stochastic Volterra equations with completely monotone kernels

DOI10.1007/S00028-009-0010-1MaRDI QIDQ423352zbMATH OpenOpenAlexFDO

Authors S. Bonaccorsi, E. Mastrogiacomo

Publication date 2 June 2012

Published in Journal of Evolution Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00028-009-0010-1

zbMATH Keywords

multiplicative noiseoptimal controlsingular kernelstochastic perturbationVolterra integral equations

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Volterra integral equations (45D05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

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Cites work

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• Calcul stochastique et problèmes de martingales
• Ergodicity for Infinite Dimensional Systems
• Exponential stabilization of Volterra integral equations with singular kernels
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Optimal Control with Integral State Equations
• Optimal control of a stochastic heat equation with boundary-noise and boundary-control
• Stochastic Equations in Infinite Dimensions
• Volterra equations in Banach spaces with completely monotone kernels
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?

Cited in

(9)

• Optimal control for stochastic Volterra equations with completely monotone kernels
• Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise
• Feedback optimal control for stochastic Volterra equations with completely monotone kernels
• Optimal control for stochastic Volterra equations with multiplicative Lévy noise
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations
• Volterra equations in Banach spaces with completely monotone kernels
• Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels
• Global solutions to stochastic Volterra equations driven by Lévy noise
• On difficulties appearing in the study of stochastic Volterra equations

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