Quadratic Control for Stochastic Systems Defined by Evolution Operators and Square Integrable Martingales

DOI10.1002/mana.19901470122zbMath0716.49013MaRDI QIDQ3203604

Constantin Tudor

Publication date: 1990

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mana.19901470122

zbMATH Keywords

convergence of approximate solutions; Riccati integral equations

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49J55: Existence of optimal solutions to problems involving randomness

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ε-Optimal and Optimal Controls for the Stochastic Linear-Quadratic Problem

Cites Work

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