Geodesic
Equivalent cost functionals and stochastic linear quadratic optimal control problems
ESAIM: Control, Optimisation and Calculus of Variations, Tome 19 (2013) no. 1, pp. 78-90 Cet article a éte moissonné depuis la source Numdam

Voir la notice de l'article

This paper is concerned with the stochastic linear quadratic optimal control problems (LQ problems, for short) for which the coefficients are allowed to be random and the cost functionals are allowed to have negative weights on the square of control variables. We propose a new method, the equivalent cost functional method, to deal with the LQ problems. Comparing to the classical methods, the new method is simple, flexible and non-abstract. The new method can also be applied to deal with nonlinear optimization problems.

DOI : 10.1051/cocv/2011206
Classification : 93E20, 49N10, 60H10
Keywords: stochastic LQ problem, stochastic hamiltonian system, forward-backward stochastic differential equation, Riccati equation, stochastic maximum principle 
@article{COCV_2013__19_1_78_0,
     author = {Yu, Zhiyong},
     title = {Equivalent cost functionals and stochastic linear quadratic optimal control problems},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {78--90},
     year = {2013},
     publisher = {EDP-Sciences},
     volume = {19},
     number = {1},
     doi = {10.1051/cocv/2011206},
     mrnumber = {3023061},
     zbl = {1258.93129},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/cocv/2011206/}
}
TY  - JOUR
AU  - Yu, Zhiyong
TI  - Equivalent cost functionals and stochastic linear quadratic optimal control problems
JO  - ESAIM: Control, Optimisation and Calculus of Variations
PY  - 2013
SP  - 78
EP  - 90
VL  - 19
IS  - 1
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/cocv/2011206/
DO  - 10.1051/cocv/2011206
LA  - en
ID  - COCV_2013__19_1_78_0
ER  - 
%0 Journal Article
%A Yu, Zhiyong
%T Equivalent cost functionals and stochastic linear quadratic optimal control problems
%J ESAIM: Control, Optimisation and Calculus of Variations
%D 2013
%P 78-90
%V 19
%N 1
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/cocv/2011206/
%R 10.1051/cocv/2011206
%G en
%F COCV_2013__19_1_78_0
Yu, Zhiyong. Equivalent cost functionals and stochastic linear quadratic optimal control problems. ESAIM: Control, Optimisation and Calculus of Variations, Tome 19 (2013) no. 1, pp. 78-90. doi: 10.1051/cocv/2011206

Cité par Sources :