Linearization of a matrix Riccati equation associated to an optimal control problem

DOI10.1155/2014/741390zbMath1292.49024OpenAlexW2128911252WikidataQ59043176 ScholiaQ59043176MaRDI QIDQ2247880

Foued Zitouni, Mario Lefebvre

Publication date: 30 June 2014

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

Full work available at URL: https://doi.org/10.1155/2014/741390

zbMATH Keywords

linearizationstochastic optimal controlmatrix Riccati equationLQG homing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

• Unnamed Item
• General LQG homing problems in one dimension
• Explicit solution for a vector-valued LQG homing problem
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• Derivative Pricing With Wishart Multivariate Stochastic Volatility

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