The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems (Q6043154)
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scientific article; zbMATH DE number 7682211
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems |
scientific article; zbMATH DE number 7682211 |
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The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems (English)
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4 May 2023
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In this paper, the author investigates a class of stochastic linear quadratic optimal control problems on Hilbert spaces. Concretely, the author derives the algebraic Riccati equation for the considered infinite dimensional linear quadratic stochastic optimal control problem.
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stochastic linear quadratic optimal control
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algebraic Riccati equations
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infinite dimensional control systems
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