Stochastic linear quadratic optimal control problems with random coefficients
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This paper deals with a stochastic linear quadratic control problem, with random coefficients and cost functional having negative weight on the square of the control variable. The authors introduce the stochastic Riccati equation for the problem and investigate the solvability, using the contraction mapping theorem and the Malliavin calculus. These results are developments of a previous one [cf. the authors, Appl. Math. Optim. 43, No. 1, 21-45 (2001; Zbl 0969.93044)].
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