Characterization of optimal feedback for stochastic linear quadratic control problems

DOI10.1186/S41546-017-0022-7zbMATH Open1432.93384arXiv1602.08995OpenAlexW2964062665WikidataQ59524038 ScholiaQ59524038MaRDI QIDQ2296103FDOQ2296103

Tianxiao Wang, Xu Zhang, Qi Lü

Publication date: 17 February 2020

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

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.

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

zbMATH Keywords

backward stochastic differential equationfeedback controlbackward stochastic Riccati equationstochastic linear quadratic problem

Mathematics Subject Classification ID

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

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Cited In (12)

• A concise introduction to control theory for stochastic partial differential equations
• Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
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• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
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