Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
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Publication:1735362
Abstract: Recently it has been found that for a stochastic linear-quadratic optimal control problem (LQ problem, for short) in a finite horizon, open-loop solvability is strictly weaker than closed-loop solvability which is equivalent to the regular solvability of the corresponding Riccati equation. Therefore, when an LQ problem is merely open-loop solvable not closed-loop solvable, which is possible, the usual Riccati equation approach will fail to produce a state feedback representation of open-loop optimal controls. The objective of this paper is to introduce and investigate the notion of weak closed-loop optimal strategy for LQ problems so that its existence is equivalent to the open-loop solvability of the LQ problem. Moreover, there is at least one open-loop optimal control admitting a state feedback representation. Finally, we present an example to illustrate the procedure for finding weak closed-loop optimal strategies.
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Cited in
(11)- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Mean-field linear-quadratic stochastic differential games
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
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