Explicit solution to a linear-quadratic optimal control problem with an arbitrary terminal

DOI10.3103/S0027132217050060MaRDI QIDQ1703195zbMATH OpenOpenAlexFDO

Authors A. Z. Asekov

Publication date 1 March 2018

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s0027132217050060

zbMATH Keywords

optimal stochastic controllinear-quadratic problemHamilton-Jacobi Bellman equation

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3685307 (Why is no real title available?)
• Computation of Fokker-Planck equation
• Explicit form of the fundamental solution to a second order parabolic operator
• Quantum integrals of motion for variable quadratic Hamiltonians

Cited in

(6)

• Optimal control problem with an integral functional of an exponential control function
• scientific article; zbMATH DE number 2065525 (Why is no real title available?)
• scientific article; zbMATH DE number 605148 (Why is no real title available?)
• scientific article; zbMATH DE number 1524305 (Why is no real title available?)
• scientific article; zbMATH DE number 4086403 (Why is no real title available?)
• An exact dual method of solution of a linear terminal control problem

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