Direct solution of a Riccati equation arising in stochastic control theory

DOI10.1007/BF01442178zbMath0555.93070MaRDI QIDQ761411

Giuseppe Da Prato

Publication date: 1984

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Hilbert space; stochastic optimal control; Riccati equation

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93C20: Control/observation systems governed by partial differential equations

93C05: Linear systems in control theory

90C39: Dynamic programming

93E20: Optimal stochastic control

93C25: Control/observation systems in abstract spaces

46C99: Inner product spaces and their generalizations, Hilbert spaces

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