Solution to a class of stochastic LQ problems with bounded control

DOI10.1016/j.automatica.2009.01.019zbMath1166.93030MaRDI QIDQ2391330

Daniil V. Iourtchenko

Publication date: 24 July 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2009.01.019

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; stochastic optimal control; LQ problem; bounded control

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems

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Cites Work

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• A stochastically averaged optimal control strategy for quasi-Hamiltonian systems with actuator saturation
• Local solutions to the Hamilton-Jacobi-Bellman equation in stochastic problems of optimal control
• Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications