Integral operator Riccati equations arising in stochastic Volterra control problems
Published in SIAM Journal on Control and Optimization, with Eduardo Abi Jaber and Huyên Pham, 2019
Recommended citation: https://arxiv.org/abs/1911.01903
Co-authors
Abstract
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L1(µ ⊗ µ) for certain signed matrix measures µ which are not necessarily finite. Such equations can be seen as the infinite dimensional analogue of matrix Riccati equations and they appear in the Linear–Quadratic control theory of stochastic Volterra equations.