Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients
From MaRDI portal
Publication:3566978
DOI10.1137/070696234zbMath1282.93275arXiv0707.0606MaRDI QIDQ3566978
Giuseppina Guatteri, Federica Masiero
Publication date: 10 June 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0707.0606
infinite horizon; ergodic control; random coefficients; backward stochastic Riccati equation; linear and affine quadratic optimal stochastic control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
Related Items
Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients