Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights

DOI10.1137/20M1334206zbMath1458.93267arXiv2004.11088OpenAlexW3131975342WikidataQ114074203 ScholiaQ114074203MaRDI QIDQ4965185

Hongwei Mei, Qingmeng Wei, Jiong-min Yong

Publication date: 26 February 2021

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

Full work available at URL: https://arxiv.org/abs/2004.11088

zbMATH Keywords

algebraic Riccati equationlinear-quadratic probleminvariant measureergodic controlindefinite quadratic cost

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Functional limit theorems; invariance principles (60F17)

Related Items (3)

The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Ergodic control of McKean-Vlasov SDEs and associated Bellman equation ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge

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