Linear-quadratic stochastic Volterra controls I: Causal feedback strategies

In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs) with singular and non-convolution-type coefficients. We show that there exists a unique solution, which we call the cau...

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Bibliographic Details
Published inarXiv.org
Main Authors Hamaguchi, Yushi, Wang, Tianxiao
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 20.02.2023
Subjects
Duality principle
Feedback control
Mathematical analysis
Volterra integral equations
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Summary:In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs) with singular and non-convolution-type coefficients. We show that there exists a unique solution, which we call the causal feedback solution, to the closed-loop system of a controlled SVIE associated with a causal feedback strategy. Furthermore, introducing two novel equations named a Type-II extended backward stochastic Volterra integral equation and a Lyapunov--Volterra equation, we prove a duality principle and a representation formula for a quadratic functional of controlled SVIEs in the framework of causal feedback strategies.
ISSN:2331-8422