Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients

DOI10.1007/s00245-007-9020-yzbMath1157.60058OpenAlexW1978411015MaRDI QIDQ946222

Giuseppina Guatteri, Gianmario Tessitore

Publication date: 22 September 2008

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-007-9020-y

zbMATH Keywords

backward stochastic Riccati equationinfinite horizon control problemLQ optimal control problemstochastic coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (13)

FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ A maximum principle for a stochastic control problem with multiple random terminal times ⋮ Optimal control for stochastic delay evolution equations ⋮ The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach ⋮ The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems ⋮ Infinite horizon Stackelberg differential games with random coefficients under control input constraint ⋮ The Stochastic Linear Quadratic Control Problem with Singular Estimates ⋮ The Stochastic LQR Optimal Control with Fractional Brownian Motion ⋮ A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces ⋮ Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon ⋮ Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ Constrained stochastic LQ control on infinite time horizon with regime switching

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