Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
From MaRDI portal
Publication:2698034
DOI10.1016/j.matpur.2023.02.010OpenAlexW4321764395MaRDI QIDQ2698034
Publication date: 14 April 2023
Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.10212
random coefficientsstochastic evolution equationstochastic linear quadratic optimal control problembackward stochastic Riccati equation\(H_\lambda\)-transposition solution
Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Representation and control of infinite dimensional systems
- Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Characterization of optimal feedback for stochastic linear quadratic control problems
- Stochastic integration in UMD Banach spaces
- Quantum theory from a nonlinear perspective. Riccati equations in fundamental physics
- Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.
- Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
- Analysis in Banach Spaces
- Spaces of Operator-valued Functions Measurable with Respect to the Strong Operator Topology
- The Stochastic Linear Quadratic Control Problem with Singular Estimates
- Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Mathematical Control Theory for Stochastic Partial Differential Equations
- Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces
- Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
- On the Backward Stochastic Riccati Equation in Infinite Dimensions
- Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
- General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
- On the Separation Theorem of Stochastic Control
- Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations