pith. sign in

arxiv: 0707.0606 · v2 · pith:XYZ3D4LJnew · submitted 2007-07-04 · 🧮 math.PR

Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients

classification 🧮 math.PR
keywords stochasticcontrolequationhorizonoptimalaffinebackwardcase
0
0 comments X
read the original abstract

We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we introduce a Backward Stochastic Riccati Equation and a dual backward stochastic equation, both considered in the whole time line. Besides some stabilizability conditions we prove existence of a solution for the two previous equations defined as limit of suitable finite horizon approximating problems. This allows to perform the synthesis of the optimal control.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.