Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls

DOI10.1214/20-AAP1595zbMath1476.49044arXiv1809.00261OpenAlexW3136948175MaRDI QIDQ2240821

Jingrui Sun, Jie Xiong, Jiong-min Yong

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.00261

zbMATH Keywords

stochastic Riccati equationrandom coefficientclosed-loop representationopen-loop optimal controlstochastic linear-quadratic optimal control problemvalue flow

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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