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

DOI10.1016/J.JDE.2019.01.008MaRDI QIDQ1737535zbMATH OpenOpenAlexWikidataFDO

Authors 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 equationstochastic evolution equationclosed-loop solvabilitystochastic linear quadratic control problem

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)

Abstract: We study the closed-loop solvability of a stochastic linear quadratic optimal control problem for systems governed by stochastic evolution equations. This solvability is established by means of solvability of the corresponding Riccati equation, which is implied by the uniform convexity of the quadratic cost functional. At last, conditions ensuring the uniform convexity of the cost functional are discussed.

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Cited in

(18)

• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• A concise introduction to control theory for stochastic partial differential equations
• Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
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