On the Backward Stochastic Riccati Equation in Infinite Dimensions

DOI10.1137/S0363012903425507zbMath1102.93041OpenAlexW1969052444MaRDI QIDQ5317126

Giuseppina Guatteri, Gianmario Tessitore

Publication date: 15 September 2005

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

Full work available at URL: https://doi.org/10.1137/s0363012903425507

zbMATH Keywords

Hilbert spacesbackward stochastic differential equationsRiccati equationlinear quadratic optimal controlstochastic coefficients

Mathematics Subject Classification ID

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

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