Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients

DOI10.1016/j.matpur.2023.02.010OpenAlexW4321764395MaRDI QIDQ2698034

Qi Lü, Tian Xiao Wang

Publication date: 14 April 2023

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.10212

zbMATH Keywords

random coefficientsstochastic evolution equationstochastic linear quadratic optimal control problembackward stochastic Riccati equation\(H_\lambda\)-transposition solution

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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