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

DOI10.1016/J.JDE.2019.01.008zbMATH Open1411.93197arXiv1811.07338OpenAlexW2963879101WikidataQ128554370 ScholiaQ128554370MaRDI QIDQ1737535FDOQ1737535

Authors: Xianqiang Yang 

Publication date: 23 April 2019

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

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.

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

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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)

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