Integral operator Riccati equations arising in stochastic Volterra control problems
Optimization and Control
2019-11-06 v1 Probability
Abstract
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ( ) for certain signed matrix measures 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.
Keywords
Cite
@article{arxiv.1911.01903,
title = {Integral operator Riccati equations arising in stochastic Volterra control problems},
author = {Eduardo Abi Jaber and Enzo Miller and Huyen Pham},
journal= {arXiv preprint arXiv:1911.01903},
year = {2019}
}
Comments
28 pages