Stochastic linear quadratic regulators with indefinite control weight costs. II (Q2706144)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic linear quadratic regulators with indefinite control weight costs. II |
scientific article |
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19 March 2001
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stochastic linear quadratic regulator
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well-posedness
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stochastic Riccati equation
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backward stochastic differential equation
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control weighting matrices
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Stochastic linear quadratic regulators with indefinite control weight costs. II (English)
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Controlled linear systems of diffusion type with a quadratic cost criterion are considered. The control weighting matrices in the cost functional are not necessarily nonnegative definite. An optimal control is explicitly constructed by solving the corresponding Riccati equations or decomposing the original problem into two similar problems, one with a forward dynamics and the other with backward dynamics. For part I, see ibid. 36, 1685-1702 (1998; Zbl 0916.93084).
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