On stochastic Riccati equations for the stochastic LQR problem

DOI10.1016/J.SYSCONLE.2004.07.003zbMath1129.93549OpenAlexW2072287534MaRDI QIDQ2504510

Jinghao Zhu

Publication date: 25 September 2006

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2004.07.003

zbMATH Keywords

Brownian motionlinear quadratic regulatorstochastic Riccati equation

Mathematics Subject Classification ID

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

Related Items (5)

Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems ⋮ Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ Unified Riccati Theory for Optimal Permanent and Sampled-Data Control Problems in Finite and Infinite Time Horizons ⋮ Incremental Newton's iterative algorithm for optimal control of Itô stochastic systems

Cites Work

• Unnamed Item
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
• Sufficient conditions of optimality for stochastic systems with controllable diffusions
• On the Separation Theorem of Stochastic Control

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