Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations

DOI10.1137/22m1492696zbMath1520.93617arXiv2204.08694OpenAlexW4385981708MaRDI QIDQ6176641

Hanxiao Wang, Jiong-min Yong, Chao Zhou

Publication date: 23 August 2023

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

Full work available at URL: https://arxiv.org/abs/2204.08694

zbMATH Keywords

linear-quadratic optimal controloptimality systemdecoupling fieldstochastic Volterra integral equationcausal state feedback representationcoupled forward-backward stochastic Volterra integral equationpath-dependent Riccati equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Volterra integral equations (45D05) Stochastic integral equations (60H20)

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