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

DOI10.1016/J.SYSCONLE.2008.10.005MaRDI QIDQ1016591zbMATH OpenOpenAlexFDO

Authors 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 controlbackward stochastic Riccati equationlinear and affine quadratic optimal stochastic controlrandom and stationary coefficients

Mathematics Subject Classification ID

Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Abstract: We study ergodic quadratic optimal stochastic control problems for an affine state equation with state and control dependent noise and with stochastic coefficients. We assume stationarity of the coefficients and a finite cost condition. We first treat the stationary case and we show that the optimal cost corresponding to this ergodic control problem coincides with the one corresponding to a suitable stationary control problem and we provide a full characterization of the ergodic optimal cost and control.

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Cited in

(7)

• scientific article; zbMATH DE number 6263657 (Why is no real title available?)
• Linear-quadratic optimal control under non-Markovian switching
• Ergodic maximum principle for stochastic systems
• Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
• Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
• Infinite horizon and ergodic optimal quadratic control for an affine equation with stochastic coefficients
• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge

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