Existence of a Mean-Square Stabilizing Solution to a Modified Algebraic Riccati Equation

DOI10.1137/16M1098255zbMath1464.47047MaRDI QIDQ4602533

Jianying Zheng, Li Qiu

Publication date: 12 February 2018

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

zbMATH Keywords

stochastic optimal controlmodified algebraic Riccati equationcone-invariant operators

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Convex sets and cones of operators (47L07)

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