Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients

DOI10.1016/j.sysconle.2008.10.005zbMath1159.93362arXiv0804.4362MaRDI QIDQ1016591

Giuseppina Guatteri, Federica Masiero

Publication date: 6 May 2009

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.4362

zbMATH Keywords

ergodic control; backward stochastic Riccati equation; linear and affine quadratic optimal stochastic control; random and stationary coefficients

Mathematics Subject Classification ID

93E20: Optimal stochastic control

93C15: Control/observation systems governed by ordinary differential equations

Cites Work

• Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients
• Quadratic control for linear periodic systems
• Stationary backward stochastic differential equations and associated partial differential equations
• Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients
• Stationary control of Brownian motion in several dimensions
• Stochastic Hamilton–Jacobi–Bellman Equations
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Multidimensional Backward Stochastic Riccati Equations and Applications
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• On the Backward Stochastic Riccati Equation in Infinite Dimensions
• Optimal Stationary Control of a Linear System with State-Dependent Noise
• Unnamed Item
• Unnamed Item
• Unnamed Item