Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon

DOI10.1137/S0363012903429529MaRDI QIDQ4652575zbMATH OpenOpenAlexFDO

Authors Xi Chen, Xun Yu Zhou

Publication date 28 February 2005

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012903429529

zbMATH Keywords

(conic) stabilizabilityconeconstrained controlextended algebraic Riccati equationsinfinite time horizonstochastic linear-quadratic controlwell-posedness

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

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• Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case

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