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arXiv · 1911.01903

Integral operator Riccati equations arising in stochastic Volterra control problems

Eduardo Abi Jaber·Enzo Miller·Huyen Pham
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Abstract

We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ($\mu$ $\otimes$ $\mu$) for certain signed matrix measures $\mu$ which are not necessarily finite. Such equations can be seen as the infinite dimensional analogue of matrix Riccati equations and they appear in the Linear-Quadratic control theory of stochastic Volterra equations.

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Eduardo Abi Jaber, Enzo Miller, Huyen Pham. 2019-11-05. Integral operator Riccati equations arising in stochastic Volterra control problems. https://arxiv.org/abs/1911.01903

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