Stochastic linear quadratic optimal control problems with random coefficients (Q1586099)
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scientific article; zbMATH DE number 1530101
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| English | Stochastic linear quadratic optimal control problems with random coefficients |
scientific article; zbMATH DE number 1530101 |
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Stochastic linear quadratic optimal control problems with random coefficients (English)
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12 March 2001
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This paper deals with a stochastic linear quadratic control problem, with random coefficients and cost functional having negative weight on the square of the control variable. The authors introduce the stochastic Riccati equation for the problem and investigate the solvability, using the contraction mapping theorem and the Malliavin calculus. These results are developments of a previous one [cf. the authors, Appl. Math. Optim. 43, No. 1, 21-45 (2001; Zbl 0969.93044)].
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stochastic linear quadratic control
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random coefficients
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stochastic Riccati equation
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contraction mapping theorem
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Malliavin calculus
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0.916914701461792
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0.8880999684333801
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0.8734293580055237
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