Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients

DOI10.1016/j.sysconle.2008.10.005zbMath1159.93362arXiv0804.4362MaRDI QIDQ1016591

Giuseppina Guatteri, Federica Masiero

Publication date: 6 May 2009

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.4362

zbMATH Keywords

ergodic control; backward stochastic Riccati equation; linear and affine quadratic optimal stochastic control; random and stationary coefficients

Mathematics Subject Classification ID

93E20: Optimal stochastic control

93C15: Control/observation systems governed by ordinary differential equations

Cites Work

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