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

DOI10.1002/mana.19901470122zbMath0716.49013OpenAlexW2069560004MaRDI 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 solutionsRiccati integral equations

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• Unnamed Item
• Direct solution of a Riccati equation arising in stochastic control theory
• On a stochastic evolution equation
• 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
• Dynamic Programming Approach to Stochastic Evolution Equations
• A submartingale type inequality with applicatinos to stochastic evolution equations
• The Infinite-Dimensional Riccati Equation for Systems Defined by Evolution Operators
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces

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