On Optimal Control of Linear Stochastic Equations with a Linear-Quadratic Criterion

DOI10.1137/0315001MaRDI QIDQ4124708zbMATHOpenAlexFDO

Authors Jean-Michel Bismut

Publication date 1977

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

Full work available at URL https://doi.org/10.1137/0315001

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited in

(8)

• Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
• Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
• Robust stochastic maximum principle for multi-model worst case optimization
• Optimal control problem for stochastic evolution equations in Hilbert spaces
• Robust optimal control for minimax stochastic linear quadratic problem
• Optimal control problems for stochastic delay evolution equations in Banach spaces
• On the existence of stochastic optimal control of distributed state system
• Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems

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