A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
From MaRDI portal
Publication:2013932
DOI10.1007/s00245-016-9339-3zbMath1371.49015OpenAlexW2344818275MaRDI QIDQ2013932
Tijana Levajković, Amjad M. Tuffaha, Hermann Mena
Publication date: 10 August 2017
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9339-3
Riccati equationsfeedback controlapproximation schemesstochastic linear quadratic regulator problems
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20) Existence of optimal solutions to problems involving randomness (49J55)
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