Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems

DOI10.1016/J.SYSCONLE.2024.105748MaRDI QIDQ6540838zbMATH OpenFDO

Authors Maozhong Xu, Mao-ning Tang, Qingxin Meng

Publication date 17 May 2024

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SYSCONLE.2024.105748

zbMATH Keywords

domination-monotonicity conditionforward-backward stochastic evolution equationinfinite dimensionmethod of continuationstochastic linear-quadratic problem

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Multivariable systems, multidimensional control systems (93C35)

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Cited in

(1)

• Stochastic bounded real lemma and H_ control of difference systems in Hilbert spaces

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