Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients

DOI10.1137/070696234zbMath1282.93275arXiv0707.0606OpenAlexW2063706455MaRDI QIDQ3566978

Federica Masiero, Giuseppina Guatteri

Publication date: 10 June 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.0606

zbMATH Keywords

infinite horizonergodic controlrandom coefficientsbackward stochastic Riccati equationlinear and affine quadratic optimal stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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