A new approach to lineary perturbed Riccati equations arising in stochastic control (Q1381324): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s002459900070 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2067573516 / rank | |||
Normal rank |
Latest revision as of 23:52, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A new approach to lineary perturbed Riccati equations arising in stochastic control |
scientific article |
Statements
A new approach to lineary perturbed Riccati equations arising in stochastic control (English)
0 references
21 September 1998
0 references
A linearly perturbed version of the well-known Riccati equations, which arise in certain stochastic optimal control problems, is studied. Using the concepts of mean square stabilizability and mean square detectability, previous results concerning both convergence properties of the linearly perturbed Riccati differential equation and the solutions of the linearly perturbed algebraic Riccati equation are improved. The proposed approach unifies, in some way, the study of this class of Riccati equations with that one arising from the classical theory, by eliminating certain inconvenient assumptions used in other papers. Thus, for example, the existence of a strong solution is subjected only to the mean square stabilizability assumption.
0 references
perturbation
0 references
Riccati equations
0 references
mean square stabilizability
0 references