Stochastic linear quadratic regulators with indefinite control weight costs. (English) Zbl 0916.93084

Chen, Shuping; Li, Xunjing; Zhou, Xun Yu

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)

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