Integral operator Riccati equations arising in stochastic Volterra control problems

Adopting a novel viewpoint, we show that LQ optimal control can be seen as a regression problem over the space of controlled trajectories, and that the latter has a very

We provide iterative procedures for numerical computation of some stabilizing solu- tions of two type of coupled matrix Riccati differential equations arising in connection with

Many different methods have been used to estimate the solution of Hallen’s integral equation such as, finite element methods [4], a general method for solving dual integral equation

An operator- valued stochastic integral and the stochastic integrals associated with this operator-valued integral are defined in section 3.. Section 4

Keywords: linear quadratic optimal stochastic control, multiplicative space-time white noise, stochastic partial differential equation, Riccati equation, null controllability,

In this paper we present a numerical scheme for the resolution of matrix Ric- cati equation, usualy used in control problems. The scheme is unconditionnaly stable and the solution

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One key parameter in their analysis was the matrix Ψ characterizing the distribution of the phase visited at the end of a busy period in an infinite buffer or finite buffer case