A frequency criterion for the existence of an optimal control for Ito equations

Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Abstract: The following optimization problem is considered. For a linear vector Ito equation. it is required to find an optimal deterministic control vector which minimizes a quadratic the functional. A necessary and sufficient condition for the existence of a optimal control are formulated in the form of frequency inequalities. It is shown that an optimal control can be found by solving a certain linear-quadratic deterministic optimization problem.

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