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Stochastic Riccati differential equation driven by a Brownian motion. (Chinese. English summary) Zbl 1424.60073

Summary: The forward stochastic Riccati differential equation driven by a Brownian motion is considered. We prove that under proper conditions, this equation admits a unique strong solution. We also derive several properties of the solution. A special case of this equation is the Riccati differential equation, which arises in the solution of linear quadratic stochastic optimal control.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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