English

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 (μ\mu \otimes μ\mu) for certain signed matrix measures μ\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.

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

R2 v1 2026-06-23T12:06:14.851Z