Characterization of optimal feedback for stochastic linear quadratic control problems

DOI10.1186/s41546-017-0022-7zbMath1432.93384arXiv1602.08995WikidataQ59524038 ScholiaQ59524038MaRDI QIDQ2296103

Qi Lü, Tian Xiao Wang, Zhang, X.

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.08995

zbMATH Keywords

feedback control; backward stochastic differential equation; backward stochastic Riccati equation; stochastic linear quadratic problem

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93B52: Feedback control

93C05: Linear systems in control theory

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems

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