Stochastic LQ Control and Associated Riccati Equation of PDEs Driven by State- and Control-Dependent White Noise

DOI10.1137/20M1351904zbMath1485.93632arXiv1809.05308OpenAlexW4213001759WikidataQ114074181 ScholiaQ114074181MaRDI QIDQ5037498

Shanjian Tang, Ying Hu

Publication date: 1 March 2022

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

Full work available at URL: https://arxiv.org/abs/1809.05308

zbMATH Keywords

null controllabilityRiccati equationstochastic LQ controlfinite- and infinite-time horizonsPDE driven by state- and control-dependent white noise

Mathematics Subject Classification ID

Controllability (93B05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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