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20182021
most citedLinear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation

12 citations · 12 across the 3 of their papers we have counts for

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math.OC2019

Integral operator Riccati equations arising in stochastic Volterra control problems

Eduardo Abi Jaber, Enzo Miller, Huyen Pham

We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ( ) for certain signed matrix measures wh…

math.OC2019★ 12 cited

Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation

Eduardo Abi Jaber, Enzo Miller, Huyên Pham

We provide an exhaustive treatment of Linear-Quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are Laplace transforms of ce…