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Browsing by Subject "Riccati equation for optimization"

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    Item type:Article, Access status: Open Access ,
    A direct approach to linear-quadratic stochastic control
    (Wydawnictwa AGH, 2017) Duncan, Tyrone E.; Pasik-Duncan, Bozenna
    A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic differential equations with a stochastic maximum principle or the use of a dynamic programming principle. The appropriate Riccati equation is obtained as part of the optimization problem. The noise processes can be fairly general including the family of fractional Brownian motions.