Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems

DOI10.1016/j.jde.2019.01.008zbMath1411.93197arXiv1811.07338MaRDI QIDQ1737535

Xianqiang Yang

Publication date: 23 April 2019

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07338

zbMATH Keywords

Riccati equation; stochastic evolution equation; closed-loop solvability; stochastic linear quadratic control problem

Mathematics Subject Classification ID

49N35: Optimal feedback synthesis

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems