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arXiv · 2204.10239

Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations

Yushi Hamaguchi·Tianxiao Wang
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Abstract

In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in the cost functional are not assumed to be non-negative definite. From a new viewpoint, we formulate a framework of causal feedback strategies. The existence and the uniqueness of a causal feedback optimal strategy are characterized by means of the corresponding Riccati--Volterra equation.

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Yushi Hamaguchi, Tianxiao Wang. 2022-04-21. Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations. https://doi.org/10.1051/cocv%2F2024036

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