Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

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Publication:2820185

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DOI10.1137/15M103532XzbMath1347.49033arXiv1508.02163OpenAlexW2963197062MaRDI QIDQ2820185

Jingrui Sun, Xun Li, Jiong-min Yong

Publication date: 14 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02163

zbMATH Keywords

stochastic differential equation Riccati equation linear quadratic optimal control problem open-loop solvability closed-loop solvability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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