Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems

DOI10.1016/j.jde.2019.01.008zbMath1411.93197arXiv1811.07338OpenAlexW2963879101WikidataQ128554370 ScholiaQ128554370MaRDI QIDQ1737535

Xianqiang Yang

Publication date: 23 April 2019

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07338

zbMATH Keywords

Riccati equationstochastic evolution equationclosed-loop solvabilitystochastic linear quadratic control problem

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (9)

The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems ⋮ Optimal feedback control results for a second-order evolution system with finite delay ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations ⋮ Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions ⋮ Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients ⋮ Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations ⋮ Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations ⋮ A concise introduction to control theory for stochastic partial differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On backward stochastic evolution equations in Hilbert spaces and optimal control
• Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory
• Representation and control of infinite dimensional systems. Vol. 2
• Stochastic linear quadratic optimal control problems in infinite horizon
• Semiclassical analysis for diffusions and stochastic processes
• Characterization of optimal feedback for stochastic linear quadratic control problems
• Transposition method for backward stochastic evolution equations revisited, and its application
• Stochastic integration in UMD Banach spaces
• Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.
• The operator theory of the pseudo-inverse. I: Bounded operators, II: Unbounded operators with arbitrary range
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
• Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
• The Stochastic Linear Quadratic Control Problem with Singular Estimates
• $\gamma$-Radonifying operators -- a survey
• Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients
• Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise
• The Separation Principle for Stochastic Evolution Equations
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Multidimensional Backward Stochastic Riccati Equations and Applications
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• Indefinite Stochastic Riccati Equations
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations
• Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces
• Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
• On the Backward Stochastic Riccati Equation in Infinite Dimensions
• General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
• An Optimal Feedback Control-Strategy Pair For Zero-Sum Linear-Quadratic Stochastic Differential Game: the Riccati Equation Approach
• On the Separation Theorem of Stochastic Control
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems