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

DOI10.1137/22M1492696zbMATH Open1520.93617arXiv2204.08694OpenAlexW4385981708MaRDI QIDQ6176641FDOQ6176641

Authors: Hanxiao Wang, Jiongmin Yong, Chao Zhou 

Publication date: 23 August 2023

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

Abstract: A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop optimal control exists, which can be characterized by the optimality system, a coupled system of an FSVIE and a Type-II backward SVIE (BSVIE, for short). To obtain a causal state feedback representation for the open-loop optimal control, a path-dependent Riccati equation for an operator-valued function is introduced, via which the optimality system can be decoupled. In the process of decoupling, a Type-III BSVIE is introduced whose adapted solution can be used to represent the adapted M-solution of the corresponding Type-II BSVIE. Under certain conditions, it is proved that the path-dependent Riccati equation admits a unique solution, which means that the decoupling field for the optimality system is found. Therefore a causal state feedback representation of the open-loop optimal control is constructed. An additional interesting finding is that when the control only appears in the diffusion term, not in the drift term of the state system, the causal state feedback reduces to a Markovian state feedback.

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

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zbMATH Keywords

optimality systemdecoupling fieldlinear-quadratic optimal controlstochastic Volterra integral equationcausal state feedback representationcoupled forward-backward stochastic Volterra integral equationpath-dependent Riccati equation

Mathematics Subject Classification ID

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

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Cited In (7)

• Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
• Linear-quadratic stochastic Volterra controls. II: Optimal strategies and Riccati-Volterra equations
• Causal state feedback representation for linear quadratic optimal control problems of singular Volterra integral equations
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Linear-quadratic stochastic Volterra controls. I: Causal feedback strategies
• Causal Feedback Optimal Control for Volterra Integral Equations
• Infinite horizon linear quadratic optimal control problems for singular Volterra integral equations

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