Title
A Linear Quadratic Optimal Control Problem For Stochastic Volterra Integral Equations
Keywords
Duality principle; Forward-backward stochastic integral equations; Linear quadratic optimal control problem
Abstract
A linear quadratic optimal control problem is considered for a stochastic Volterra integral equation. As a necessary condition for the optimality, a forward-backward stochastic Volterra integral equation (FBSVIE, for short) is derived, via a duality principle for stochastic integral equations.
Publication Date
1-1-2007
Publication Title
Control Theory and Related Topics: In Memory of Xunjing Li
Number of Pages
44-66
Document Type
Article; Book Chapter
Personal Identifier
scopus
DOI Link
https://doi.org/10.1142/9789812790552_0005
Copyright Status
Unknown
Socpus ID
84969217082 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/84969217082
STARS Citation
Chen, Shuping and Yong, Jiongmin, "A Linear Quadratic Optimal Control Problem For Stochastic Volterra Integral Equations" (2007). Scopus Export 2000s. 7061.
https://stars.library.ucf.edu/scopus2000/7061