Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise

DOI10.1137/0330040zbMath0776.49007OpenAlexW2056488881MaRDI QIDQ4016759

Gianmario Tessitore

Publication date: 16 January 1993

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

Full work available at URL: https://doi.org/10.1137/0330040

zbMATH Keywords

algebraic Riccati equationanalytic semigroupsunbounded coefficientsquadratic optimal controlItô stochastic calculuslinear stochastic evolution equationregularly dissipative operators

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55)

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