Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (eBook, PDF)

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (eBook, PDF)

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This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues - the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, ...

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