Structural Properties of the Linear–Quadratic Stochastic Control Problem

DOI10.1137/0321041zbMath0529.93072OpenAlexW2059136755MaRDI QIDQ3312135

Kenko Uchida

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1137/0321041

zbMATH Keywords

separation principlelinear-quadratic stochastic controlGirsanov solutionsnon-Gaussian initial state

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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