Stochastic LQ control with recursive infinite-horizon costs is equivalent to classical LQ under a weighted L2-stabilizability condition, allowing translation of open-loop, closed-loop, and Riccati results.
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Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional in Infinite Horizon
Stochastic LQ control with recursive infinite-horizon costs is equivalent to classical LQ under a weighted L2-stabilizability condition, allowing translation of open-loop, closed-loop, and Riccati results.