Direct solution of a Riccati equation arising in a stochastic control problem with control and observation on the boundary

DOI10.1007/BF01442231zbMath0606.93070MaRDI QIDQ1085135

Franco Flandoli

Publication date: 1986

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Riccati equationNeumann boundary controlstochastic parabolic systemsDirichlet boundary observation

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Equations involving linear operators, with operator unknowns (47A62) PDEs with randomness, stochastic partial differential equations (35R60) Existence of optimal solutions to problems involving randomness (49J55)

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