Spike Variations for Stochastic Volterra Integral Equations

DOI10.1137/22m1522097zbMath1530.45002arXiv2205.13486MaRDI QIDQ6140992

Jiong-min Yong, Tian Xiao Wang

Publication date: 2 January 2024

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

Full work available at URL: https://arxiv.org/abs/2205.13486

zbMATH Keywords

backward stochastic Volterra integral equationsnonconvex control domainsecond-order adjoint equationssingle variation

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stochastic integral equations (60H20) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Random integral equations (45R05)

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