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Direct solution of a Riccati equation arising in a stochastic control problem with control and observation on the boundary (1986)

Flandoli, Franco

Springer

Applied mathematics & optimization 14 (1986), S. 107-129

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ISSN: 1432-0606

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: Abstract The optimal control of a class of stochastic parabolic systems is studied. This class includes systems with noise depending on spatial derivatives of the state, Neumann boundary control, and Dirichlet boundary observation, and extends a class of stochastic systems with distributed control studied by Da Prato [3] and Da Prato and Ichikawa [4]. The work is based on the direct study of the Riccati equation arising in the optimal control problem over finite time horizon. The problem over infinite time horizon and the corresponding algebraic Riccati equation are also considered.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01442231

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