Optimal control for infinite dimensional stochastic differential equations with infinite Markov jumps and multiplicative noise

DOI10.1016/J.JMAA.2014.03.052zbMATH Open1304.93081OpenAlexW2009311948MaRDI QIDQ483017FDOQ483017

Authors: V. M. Ungureanu 

Publication date: 15 December 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.03.052

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zbMATH Keywords

detectabilityoptimal controlstochastic differential equationsMarkov jumpslinear quadratic controlgeneralized Riccati differential equationsItô's formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Cites Work

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Cited In (11)

• Optimal control on semilinear retarded stochastic functional differential equations driven by Poisson jumps in Hilbert space
• Infinite horizon LQ Nash games for SDEs with infinite jumps
• Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces
• Stochastic Optimal Control in Infinite Dimension
• Finite horizon \(H_2 / H_\infty\) control for SDEs with infinite Markovian jumps
• Quadratic stabilizability and \(H_{\infty}\) control of linear discrete-time stochastic uncertain systems
• Robust \(H_2/H_\infty\) fuzzy filtering for nonlinear stochastic systems with infinite Markov jump
• Almost automorphic solutions for fractional stochastic differential equations and its optimal control
• Stability analysis for stochastic differential equations with infinite Markovian switchings
• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• \(H_\infty\) control for nonlinear infinite Markov jump systems

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