Structural Properties of the Linear–Quadratic Stochastic Control Problem

DOI10.1137/0321041MaRDI QIDQ3312135zbMATH OpenOpenAlexFDO

Authors Kenko Uchida

Publication date 1983

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

Full work available at URL https://doi.org/10.1137/0321041

zbMATH Keywords

Girsanov solutionslinear-quadratic stochastic controlnon-Gaussian initial stateseparation principle

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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