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Zbl 0916.93084
Chen, Shuping; Li, Xunjing; Zhou, Xun Yu
Stochastic linear quadratic regulators with indefinite control weight costs. (English)
[J] SIAM J. Control Optimization 36, No.5, 1685-1702 (1998). ISSN 0363-0129; ISSN 1095-7138/e

The authors consider an optimal control problem of a stochastic linear quadratic regulator with general control weights. The problem reduces to the solution of a stochastic Riccati equation, which is a backward stochastic differential equation. Sufficient conditions are given, under which the Riccati equation has a unique solution.
[H.Pragarauskas (Vilnius)]

MSC 2000:: *93E20 Optimal stochastic control (systems)
49N10 Linear-quadratic optimal control problems

Keywords: stochastic linear quadratic regulator; well-posedness; stochastic Riccati equation; backward stochastic differential equation; maximum principle

Cited in: Zbl 1023.93072

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