Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon
DOI10.1137/S0363012903429529zbMATH Open1101.49027OpenAlexW2161370261MaRDI QIDQ4652575FDOQ4652575
Authors: Xi Chen, Xun Yu Zhou 
Publication date: 28 February 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012903429529
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conewell-posednessinfinite time horizonconstrained controlstochastic linear-quadratic control(conic) stabilizabilityextended algebraic Riccati equations
Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)
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- Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach
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- Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
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