Volterra Control Systems with Risk-Sensitive Performance
DOI:
https://doi.org/10.65904/3083-1733.2026.2.9Keywords:
Stochastic differential volterra equation, Risk-sensitive, Stochastic Maximum principle, Variational principle, Logarithmic transformation, Optimal controlAbstract
In the present paper, our aim is to focus on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a forward stochastic differential volterra equation. The risk-neutral control system has been used as a preliminary step, where the set of admissible controls is convex, and the optimal solution exists, the necessary as well as sufficient optimality conditions for risk-sensitive performance are proved.
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