论文标题
线性季节随机伏尔泰控制ii：最佳策略和riccati - volterra方程
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
论文作者
论文摘要
在本文中，我们研究了具有单数和非横向型型系数的随机伏尔泰积分方程的线性季度控制问题。成本功能中的加权矩阵不被认为是非负的。从新的角度来看，我们制定了因果反馈策略的框架。因果反馈最佳策略的存在和独特性的特征是通过相应的riccati-volterra方程。
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.
