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Deterministic Optimal Control of Ito Stochastic Systems with Random Coefficients
- Publication Year :
- 2019
-
Abstract
- This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients are derived via the solution to the coupled stochastic Riccati-type equations. An explicit expression of the deterministic optimal controller for this problem is given. The presented results include the case of deterministic coefficient [14] as special case.<br />Comment: 11 pages, 0 figures
- Subjects :
- Mathematics - Optimization and Control
49N05, 93E20
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1903.00808
- Document Type :
- Working Paper