Closed-loop solvability of delayed control problems: A stochastic Volterra system approach

Abstract: A general and new stochastic linear quadratic optimal control problem is studied, where the coefficients are allowed to be time-varying, and both state delay and control delay can appear simultaneously in the state equation and the cost functional. The closed-loop outcome control of this delayed problem is given by a new Riccati system whose solvability is carefully established. To this end, a novel method is introduced to transform the delayed problem into a control problem driven by a stochastic Volterra integral system without delay. This method offers several advantages: it bypasses the difficulty of decoupling the forward delayed state equation and the backward anticipated adjoint equation, avoids the introduction of infinite-dimensional spaces and unbounded control operators, and ensures that the closed-loop outcome control depends only on past state and control, without relying on future state or complex conditional expectation calculations. Finally, several particular important stochastic systems are discussed. It is found that the model can cover a class of stochastic integro-differential systems, whose closed-loop solvability has not been available before.