Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems (Q1737535): Difference between revisions

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scientific article

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English	Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems	scientific article

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instance of

scholarly article

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title

Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems (English)

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author

Xianqiang Yang

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published in

Journal of Differential Equations

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publication date

23 April 2019

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full work available at URL

https://arxiv.org/abs/1811.07338

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zbMATH Keywords

stochastic linear quadratic control problem

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stochastic evolution equation

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closed-loop solvability

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Riccati equation

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MaRDI profile type

Publication

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cites work

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Characterization of optimal feedback for stochastic linear quadratic control problems

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General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

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Identifiers

zbMATH Open document ID

1411.93197

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Mathematics Subject Classification ID

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10.1016/J.JDE.2019.01.008

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Sitelinks

Mathematics(1 entry)

mardi Publication:1737535

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