Add to ORKGIn 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.Comment: 35 page
In this paper we are concerned with a class of stochastic Volterra integro-dierential problems with ...
An optimal control problem is studied for a linear mean-field stochastic differential equation with ...
40 pagesWe provide an exhaustive treatment of Linear-Quadratic control problems for a class of stoch...
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations...
This paper is concerned with linear quadratic control problems of stochastic differential equations ...
Abstract One of the fundamental issues in Control Theory is to design feedback controls. It is well-...
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the wea...
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Mar...
We study an infinite-dimensional continuous-time optimal control problem on finite horizon for a co...
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equa...
This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not ...
This paper discusses an infinite-horizon linear quadratic (LQ) optimal control problem involving sta...
This paper is concerned with two-player zero-sum linear-quadratic stochastic differential games in a...
The subject of this work has its roots in the so called Schroedginer Bridge Problem (SBP) which asks...
We consider an optimal regulator problem for a class of nonlinear stochastic systems with a square-r...
In this paper we are concerned with a class of stochastic Volterra integro-dierential problems with ...
An optimal control problem is studied for a linear mean-field stochastic differential equation with ...
40 pagesWe provide an exhaustive treatment of Linear-Quadratic control problems for a class of stoch...
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations...
This paper is concerned with linear quadratic control problems of stochastic differential equations ...
Abstract One of the fundamental issues in Control Theory is to design feedback controls. It is well-...
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the wea...
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Mar...
We study an infinite-dimensional continuous-time optimal control problem on finite horizon for a co...
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equa...
This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not ...
This paper discusses an infinite-horizon linear quadratic (LQ) optimal control problem involving sta...
This paper is concerned with two-player zero-sum linear-quadratic stochastic differential games in a...
The subject of this work has its roots in the so called Schroedginer Bridge Problem (SBP) which asks...
We consider an optimal regulator problem for a class of nonlinear stochastic systems with a square-r...
In this paper we are concerned with a class of stochastic Volterra integro-dierential problems with ...
An optimal control problem is studied for a linear mean-field stochastic differential equation with ...
40 pagesWe provide an exhaustive treatment of Linear-Quadratic control problems for a class of stoch...