Optimal control in wide-sense stationary continuous-time stochastic models (Q1102848)

By using random measure theory and the theory of stochastic differential equations, the paper provides a rigorous treatment of the dynamic certainty equivalence theorem of optimal control theory. By not assuming that the innovations are generated by Brownian motion, or that the sample paths of the state variables are integrable, it characterizes the optimal solution path under very generalized conditions viz., wide-sense stationarity of the underlying stochastic process. The optimal control problem is for a continuous-time stochastic model with an infinite- horizon quadratic cost function and a linear dynamic equation of motion. An illustrative application derives the optimal linear feedback equation for a second-order system when the cost function includes both the levels and rates of change of the state and control variables.