Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

DOI10.1137/140956051zbMath1339.49018arXiv1402.1483OpenAlexW2236281603MaRDI QIDQ3462240

Kai Du

Publication date: 5 January 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.1483

zbMATH Keywords

solvability conditionsbackward stochastic differential equationsubsolutionsstochastic Riccati equationlinear quadratic optimal stochastic control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55)

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