Stochastic linear quadratic control problem on time scales
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Summary: This paper addresses a version of the stochastic linear quadratic control problem on time scales (S\(\Delta\)LQ), which includes the discrete time and continuous time as special cases. Riccati equations on time scales are given, and the optimal control can be expressed as a linear state feedback. Furthermore, we present the uniqueness and existence of the solution to the Riccati equation on time scales. Furthermore, we give an example to illustrate the theoretical results.
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Cited in
(9)- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Optimal control for a linear quadratic problem with a stochastic time scale
- On stochastic control for time changed Lévy dynamics
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- Hamilton-Jacobi theory over time scales and applications to linear-quadratic problems
- Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales
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