Characterization of optimal feedback for stochastic linear quadratic control problems
نویسندگان
چکیده
منابع مشابه
Characterization of optimal feedback for stochastic linear quadratic control problems
One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the study of deterministic linear quadratic control problems is exactly to construct the desired feedbacks. To date, the same problem in the stochastic setting is only partially well-understood. In this paper, we establish the equivalence between...
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ژورنال
عنوان ژورنال: Probability, Uncertainty and Quantitative Risk
سال: 2017
ISSN: 2367-0126
DOI: 10.1186/s41546-017-0022-7