Wang, Ye Stochastic linear quadratic optimal control problem: from discrete to continuous time. (Chinese. English summary) Zbl 1424.49022 Chin. Ann. Math., Ser. A 39, No. 4, 429-448 (2018). Summary: This paper deals with the continuous-time stochastic LQ problem involving state and control dependent noises and its discrete-time counterparts. Given the unique solvability of the continuous-time LQ problem, it is shown that time-discrete LQ problems admit solutions in cases where the step-size is sufficiently small. Moreover, the author reveals the natural connections between them and makes it possible to approximate the original continuous-time LQ problem with a proper order by a sequence of discrete-time ones. Besides, based on the optimal control of the continuous (discrete)-time LQ problem, optimal controls for the associated discrete (continuous)-time LQ problem and their asymptotic optimality are constructed. MSC: 49J55 Existence of optimal solutions to problems involving randomness 49N05 Linear optimal control problems 49M25 Discrete approximations in optimal control Keywords:stochastic linear quadratic (LQ) optimal control; indefinite stochastic LQ control; Riccati equation; numerical method PDFBibTeX XMLCite \textit{Y. Wang}, Chin. Ann. Math., Ser. A 39, No. 4, 429--448 (2018; Zbl 1424.49022) Full Text: DOI