Stochastic linear-quadratic control with conic control constraints on an infinite time horizon

SIAM Journal on Control and Optimization

Volumn 43, Issue 3, 2005, Pages 1120-1150

  Chen, Xi ^a   Zhou, Xun Yu ^b  

^a TSINGHUA UNIVERSITY   (China)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

(conic) stabilizability; Cone; Constrained control; Extended algebraic Riccati equations; Infinite time horizon; Stochastic linear quadratic control; Well posedness

Indexed keywords

CONSTRAINT THEORY; FINANCE; FUNCTIONS; LINEAR CONTROL SYSTEMS; PROBLEM SOLVING; RICCATI EQUATIONS;

CONSTRAINED CONTROL; EXTENDED ALGEBRAIC RICCATI EQUATIONS; INFINITE TIME HORIZON; STABILIZABILITY; STOCHASTIC LINEAR-QUADRATIC CONTROL; WELL-POSEDNESS;

STOCHASTIC CONTROL SYSTEMS;

EID: 19944413073     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012903429529     Document Type: Article

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