Stochastic linear quadratic regulators with indefinite control weight costs

SIAM Journal on Control and Optimization

Volumn 36, Issue 5, 1998, Pages 1685-1702

  Chen, Shuping ^a   Li, Xunjing ^b   Zhou, Xun Yu ^c  

^a ZHEJIANG UNIVERSITY   (China)

^b FUDAN UNIVERSITY   (China)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Backward stochastic differential equation; Maximum principle; Stochastic linear quadratic regulator; Stochastic Riccati equation; Well posedness

Indexed keywords

DIFFERENTIAL EQUATIONS; LINEAR CONTROL SYSTEMS; MAXIMUM PRINCIPLE; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING; RANDOM PROCESSES; RICCATI EQUATIONS; STOCHASTIC CONTROL SYSTEMS;

CONTROL WEIGHT COST; STOCHASTIC LINEAR QUADRATIC REGULATOR;

CONTROL THEORY;

EID: 0032165503     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012996310478     Document Type: Article

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