Explicit solution to a linear-quadratic optimal control problem with an arbitrary terminal

DOI10.3103/S0027132217050060zbMath1386.49036OpenAlexW2773364582MaRDI QIDQ1703195

A. Z. Asekov

Publication date: 1 March 2018

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132217050060

zbMATH Keywords

linear-quadratic problemoptimal stochastic controlHamilton-Jacobi Bellman equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45) Optimality conditions for problems involving ordinary differential equations (49K15)

Cites Work

• Unnamed Item
• Quantum integrals of motion for variable quadratic Hamiltonians
• Explicit form of the fundamental solution to a second order parabolic operator
• Computation of Fokker-Planck equation

This page was built for publication: Explicit solution to a linear-quadratic optimal control problem with an arbitrary terminal