Optimal controller for Ito-Volterra systems

This paper presents solution of the optimal linear-quadratic controller problem for unobservable Ito-Volterra systems with continuous/discontinuous states over continuous/discontinuous observations. As a result, the system of the optimal controller equations is obtained, including a linear integral equation for the optimally controlled estimate and two integral Riccati equations for its cross-correlation function and a constituent of the optimal regulator gain matrix. Those equations are then simplified in the case of a dynamic plant (the internal part of a state equation) governed by a differential equation.