Chen, Shuping; Li, Xunjing; Zhou, Xun Yu Stochastic linear quadratic regulators with indefinite control weight costs. (English) Zbl 0916.93084 SIAM J. Control Optimization 36, No. 5, 1685-1702 (1998). The authors consider an optimal control problem of a stochastic linear quadratic regulator with general control weights. The problem reduces to the solution of a stochastic Riccati equation, which is a backward stochastic differential equation. Sufficient conditions are given, under which the Riccati equation has a unique solution. Reviewer: H.Pragarauskas (Vilnius) Cited in 1 ReviewCited in 105 Documents MSC: 93E20 Optimal stochastic control 49N10 Linear-quadratic optimal control problems Keywords:stochastic linear quadratic regulator; well-posedness; stochastic Riccati equation; backward stochastic differential equation; maximum principle PDF BibTeX XML Cite \textit{S. Chen} et al., SIAM J. Control Optim. 36, No. 5, 1685--1702 (1998; Zbl 0916.93084) Full Text: DOI