Generalized differential Riccati equation and indefinite stochastic LQ control with cross term

DOI10.1016/S0096-3003(03)00766-5zbMath1053.93041OpenAlexW2082756469WikidataQ115339712 ScholiaQ115339712MaRDI QIDQ1883157

Chengxin Luo, En-Min Feng

Publication date: 1 October 2004

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

Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00766-5

zbMATH Keywords

stochastic optimal controlgeneralized differential Riccati equation

Mathematics Subject Classification ID

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

Related Items (4)

Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ On the existence of an optimal feedback control for stochastic systems ⋮ Optimal control problem of stochastic systems

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• On the Separation Theorem of Stochastic Control
• Extensions of quadratic minimization theory II. Infinite time results
• Conditions for Positive and Nonnegative Definiteness in Terms of Pseudoinverses

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