On the existence of an optimal feedback control for stochastic systems

DOI10.1134/S0012266113110128zbMath1290.93210MaRDI QIDQ2251791

A. N. Stanzhitskii, E. A. Samoilenko, V. V. Mogileva

Publication date: 15 July 2014

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

zbMATH Keywords

optimal controldirect methodssystems of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Methods involving semicontinuity and convergence; relaxation (49J45)

Related Items (1)

Optimal Control for Systems of Differential Equations on the Infinite Interval of Time Scale

Cites Work

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• Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
• Existence of Optimal Stochastic Control Laws
• On the Solutions of a Stochastic Control System
• Optimal Stationary Control of a Linear System with State-Dependent Noise
• Stochastic linear quadratic optimal control problems

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