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

DOI10.1155/2011/319375zbMath1237.93179OpenAlexW2041453812WikidataQ58686741 ScholiaQ58686741MaRDI QIDQ762929

Libin Mou, Stanley R. Liberty

Publication date: 8 March 2012

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

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

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

Related Items (1)

Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process

Cites Work

• State-feedback, finite-horizon, cost density-shaping control for the linear quadratic Gaussian framework
• Cost cumulant control: State-feedback, finite-horizon paradigm with application to seismic protection
• On the essential quadratic nature of LQG control-performance measure cumulants
• On the existence of solutions to coupled matrix Riccati differential equations in linear quadratic Nash games
• Coupled matrix Riccati equations in minimal cost variance control problems
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