Name
Abstract | ||
|---|---|---|
This paper is concerned with stochastic Riccati equations (SREs), which are a class of matrix-valued, nonlinear backward stochastic differential equations (BSDEs). The SREs under consideration are, in general, indefinite, in the sense that certain parameter matrices are indefinite. This kind of equations arises from the stochastic linear-quadratic (LQ) optimal control problem with random coefficients and indefinite state and control weighting costs, the latter having profound implications in both theory and applications. While the solvability of the SREs is the key to solving the indefinite stochastic LQ control, it remains, in general, an extremely difficult, open problem. This paper attempts to solve the problem of existence and uniqueness of solutions to the indefinite SREs for a number of special, yet important, cases. |
Year | DOI | Venue |
|---|---|---|
2003 | 10.1137/S0363012901391330 | SIAM J. Control and Optimization |
Keywords | Field | DocType |
indefinite stochastic riccati equations,stochastic linear-quadratic,stochastic riccati equation,indefinite stochastic lq control,optimal control problem,open problem,indefinite state,control weighting cost,paper attempt,stochastic differential equation,indefinite sres,riccati equation | Mathematical optimization,Optimal control,Nonlinear system,Open problem,Mathematical analysis,Stochastic differential equation,Algebraic Riccati equation,Riccati equation,Stochastic partial differential equation,Linear-quadratic regulator,Mathematics | Journal |
Volume | Issue | ISSN |
42 | 1 | 0363-0129 |
Citations | PageRank | References |
13 | 5.19 | 5 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ying Hu | 1 | 312 | 28.67 |
| Xun Yu Zhou | 2 | 886 | 212.57 |