Characterization of optimal feedback for stochastic linear quadratic control problems

DOI10.1186/S41546-017-0022-7MaRDI QIDQ2296103zbMATH OpenOpenAlexWikidataFDO

Authors Qi Lü, Tianxiao Wang, Xu Zhang

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1602.08995

zbMATH Keywords

backward stochastic differential equationbackward stochastic Riccati equationfeedback controlstochastic linear quadratic problem

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Feedback control (93B52) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Abstract: One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the deterministic case is to provide the desired feedback controls for linear quadratic control problems. To date, the same problem in the stochastic setting is only partially well-understood. In this paper, we establish the equivalence between the existence of optimal feedback controls for the stochastic linear quadratic control problems with random coefficients and the solvability of the corresponding backward stochastic Riccati equations in a suitable sense. We also give a counterexample showing the nonexistence of feedback controls to a solvable stochastic linear quadratic control problem. This is a new phenomenon in the stochastic setting, significantly different from its deterministic counterpart.

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Cited in

(16)

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