Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise

DOI10.1137/0330040zbMath0776.49007MaRDI QIDQ4016759

Gianmario Tessitore

Publication date: 16 January 1993

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

Full work available at URL: https://doi.org/10.1137/0330040

zbMATH Keywords

algebraic Riccati equation; analytic semigroups; unbounded coefficients; quadratic optimal control; Itô stochastic calculus; linear stochastic evolution equation; regularly dissipative operators

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

49J20: Existence theories for optimal control problems involving partial differential equations

49J55: Existence of optimal solutions to problems involving randomness

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