Deterministic Optimal Control of Ito Stochastic Systems with Random Coefficients

MaRDI QIDQ6314942zbMATH OpenFDO

Authors Hongdan Li, Juanjuan Xu, Huanshui Zhang

Publication date 2 March 2019

Mathematics Subject Classification ID

Linear optimal control problems (49N05) Optimal stochastic control (93E20)

Abstract: This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients are derived via the solution to the coupled stochastic Riccati-type equations. An explicit expression of the deterministic optimal controller for this problem is given. The presented results include the case of deterministic coefficient [14] as special case.

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