Bonaccorsi, Stefano and Confortola, Fulvia and Mastrogiacomo, Elisa (2010) Optimal control for stochastic Volterra equations with completely monotone kernels. UNSPECIFIED. (Unpublished)
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Abstract
In this paper, we study a class of stochastic optimal control problems, where the drift term of the equation has a linear growth on the control variable, the cost functional has a quadratic growth, and the control process belongs to the class of square integrable, adapted processes with no bound assumed on it.
| Item Type: | Departmental Technical Report |
|---|---|
| Department or Research center: | Mathematics |
| Subjects: | Q Science > QA Mathematics > QA273 Probabilities Q Science > QA Mathematics > QA374.7 Partial differential equations Q Science > QA Mathematics > QA299.6 Analysis |
| Report Number: | UTM 732 |
| Repository staff approval on: | 13 Apr 2010 |
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