Linear-quadratic stochastic Volterra controls. I: Causal feedback strategies

DOI10.1016/J.SPA.2024.104449MaRDI QIDQ6615486zbMATH OpenFDO

Authors Yushi Hamaguchi, Tianxiao Wang

Publication date 8 October 2024

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2024.104449

zbMATH Keywords

causal feedback strategylinear-quadratic controlstochastic Volterra integral equation

Mathematics Subject Classification ID

Linear integral equations (45A05) Stochastic integral equations (60H20) Feedback control (93B52) Optimal stochastic control (93E20)

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• Linear-quadratic stochastic Volterra controls. II: Optimal strategies and Riccati-Volterra equations
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Cited in

(4)

• Causal state feedback representation for linear quadratic optimal control problems of singular Volterra integral equations
• Linear-quadratic stochastic Volterra controls. II: Optimal strategies and Riccati-Volterra equations
• Causal feedback strategies for controlled stochastic Volterra systems: a unified treatment
• Existence of optimal controls for stochastic Volterra equations

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