Existence of solutions of a Riccati differential system from a general cumulant control problem

DOI10.1155/2011/319375MaRDI QIDQ762929zbMATH OpenOpenAlexWikidataFDO

Authors Stanley R. Liberty, Libin Mou

Publication date 8 March 2012

Published in International Journal of Differential Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/319375

zbMATH Keywords

cumulant controlexistence intervals of solutionssystem of infinitely many Riccati equations

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) Optimal stochastic control (93E20)

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• Coupled matrix Riccati equations in minimal cost variance control problems
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• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process

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