Stochastic linear quadratic optimal control problems in infinite horizon

DOI10.1007/s00245-017-9402-8zbMath1398.49028arXiv1610.05021OpenAlexW2534505373MaRDI QIDQ1670373

Jingrui Sun, Jiong-min Yong

Publication date: 5 September 2018

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

Full work available at URL: https://arxiv.org/abs/1610.05021

zbMATH Keywords

algebraic Riccati equationstabilizabilityopen-loop solvabilitystochastic linear quadratic optimal controlclosed-loop representationclosed-loop solvabilitystatic stabilizing solution

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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