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.
Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels / Confortola, Fulvia; Bonaccorsi, Stefano; Mastrogiacomo, Elisa. - ELETTRONICO. - (2010), pp. 1-39.
Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels
Confortola, Fulvia;Bonaccorsi, Stefano;Mastrogiacomo, Elisa
2010-01-01
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.File in questo prodotto:
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