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ϵ‐Optimal and Optimal Controls for the Stochastic Linear‐Quadratic Problem
Author(s) -
Tudor C.
Publication year - 1990
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.19901450111
Subject(s) - mathematics , linear quadratic regulator , riccati equation , stochastic differential equation , stochastic control , optimal control , algebraic riccati equation , linear quadratic gaussian control , stochastic partial differential equation , state (computer science) , differential equation , mathematical analysis , mathematical optimization , algorithm
We study the stochastic regulator problem in Hilbert spaces for systems governed by linear stochastic differential equations with retarded controls and with state and control dependent noise. We use integral Riccati equations and no reference to a Riccati differential equation or to the Ito formula is made.