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Integral operator Riccati equations arising in stochastic Volterra control problems

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 نشر من قبل Huyen Pham
 تاريخ النشر 2019
  مجال البحث
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We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ($mu$ $otimes$ $mu$) for certain signed matrix measures $mu$ 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.



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