Upper-Lower Solution Method for Differential Riccati Equations from Stochastic LQR Problems
نویسنده
چکیده
We use upper and lower solutions to study the existence and properties of solutions to differential Riccati equations arising from stochastic linear quadratic regulator (LQR) problems. The main results include an interpretation of upper and lower solutions, comparison theorems, an upper-lower solution theorem, necessary and sufficient conditions for existence of solutions, an estimation of maximal existence intervals of solutions and an approximation of solutions. Many of the results are new, while others are generalizations of some known results.
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