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

DOI10.1002/MANA.19901470122zbMATH Open0716.49013OpenAlexW2069560004MaRDI QIDQ3203604FDOQ3203604

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

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zbMATH Keywords

convergence of approximate solutionsRiccati integral equations

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

Cites Work

• Linear evolution equations of hyperbolic type. II
• Linear-Quadratic Optimal Control of Hereditary Differential Systems: Infinite Dimensional Riccati Equations and Numerical Approximations
• A stopped Doob inequality for stochastic convolution integrals and stochastic evolution equations
• A submartingale type inequality with applicatinos to stochastic evolution equations
• Dynamic Programming Approach to Stochastic Evolution Equations
• Direct solution of a Riccati equation arising in stochastic control theory
• Title not available (Why is that?)
• On a stochastic evolution equation
• The Infinite-Dimensional Riccati Equation for Systems Defined by Evolution Operators
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces

Cited In (10)

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• Control of Quantum Langevin Equations
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• An Algorithm for Infinite Dimensional Stochastic Control Problems
• An RKH Space Approach to State Feedback Control for a Class of Linear Stochastic Systems
• ε-Optimal and Optimal Controls for the Stochastic Linear-Quadratic Problem
• Approximation of optimal feedback controls for stochastic reaction-diffusion equations
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