Stochastic maximum principle for a generalized Volterra control system

DOI10.3934/DCDSS.2025046MaRDI QIDQ6912476zbMATH OpenFDO

Authors Longyu Chen, Yuecai Han, Yuhang Li

Publication date 22 October 2025

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/DCDSS.2025046

zbMATH Keywords

generalized Volterra control systemlinear quadratic optimal controlmaximum principleVolterra integro-differential equations

Mathematics Subject Classification ID

Volterra integral equations (45D05) Integro-ordinary differential equations (45J05) Random integral equations (45R05) Stochastic integral equations (60H20) Optimal stochastic control (93E20)

Cites work

• A new existence theory for single and multiple positive periodic solutions to Volterra integro-differential equations with impulse effects
• Analytical and numerical study of a nonlinear Volterra integro-differential equation with the Caputo-Fabrizio fractional derivative
• Anticipated backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Backward stochastic Volterra integro-differential equations and applications in optimal control problems
• Blow-up solutions of nonlinear Volterra integro-differential equations
• Fast and precise spectral method for solving pantograph type Volterra integro-differential equations
• scientific article; zbMATH DE number 2134039 (Why is no real title available?)
• Maximum principle for the stochastic optimal control problem with delay and application
• Multistep collocation methods for Volterra integro-differential equations
• Some properties of generalized anticipated backward stochastic differential equations
• Stochastic maximum principle for moving average control system
• Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations

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