延迟随机 Volterra 积分方程最优控制的新方法
概率论
2026-04-20 v2
摘要
我们通过 Hida-Malliavin 微积分的视角来解决带有延迟的随机 Volterra 积分方程的最优控制问题。我们证明，相应的伴随过程满足预期反向随机 Volterra 积分方程 (ABSVIE)，并利用这一结构，我们建立了必要的和充分的随机最大原理。我们的结果为在延迟随机系统中 characterize 最优控制提供了全面而严谨的框架。
引用
@article{arxiv.2603.25452,
title = {New approach to optimal control of delayed stochastic Volterra integral equations},
author = {Roméo Kouassi Konan and Auguste Aman},
journal= {arXiv preprint arXiv:2603.25452},
year = {2026}
}
备注
This work is now in its final form. It only remains to further develop the introduction in order to incorporate some results that have recently been brought to our attention