Existence of Solutions of a Riccati Differential System from a General Cumulant Control Problem | Zendy

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Existence of Solutions of a Riccati Differential System from a General Cumulant Control Problem

Author(s) -

S.R. Liberty,

Libin Mou

Publication year - 2011

Publication title -

international journal of differential equations

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.324

H-Index - 20

eISSN - 1687-9651

pISSN - 1687-9643

DOI - 10.1155/2011/319375

Subject(s) - cumulant , mathematics , riccati equation , generalization , linear quadratic regulator , algebraic riccati equation , variance (accounting) , control (management) , optimal control , differential equation , mathematical analysis , mathematical optimization , statistics , computer science , economics , accounting , artificial intelligence

We study a system of infinitely many Riccati equations that arise from a cumulant control problem, which is a generalization of regulator problems, risk-sensitive controls, minimal cost variance controls, and k-cumulant controls. We obtain estimates for the existence intervals of solutions of the system. In particular, new existence conditions are derived for solutions on the horizon of the cumulant control problem.

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