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| Stochastic Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations with Unbounded Control Operator |
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Citation： |
Yan WANG.Stochastic Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations with Unbounded Control Operator[J].Chinese Annals of Mathematics B,2025,46(4):583~610 |
| Page view： 1003
Net amount： 450 |
Authors： |
Yan WANG; |
Foundation： |
the National Natural Science Foundation of China (Nos. 11971334,12025105). |
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| Abstract： |
The author studies a stochastic linear quadratic (SLQ for short) optimal control
problem for systems governed by stochastic evolution equations, where the control operator
in the drift term may be unbounded. Under the condition that the cost functional is
uniformly convex, the well-posedness of the operator-valued Riccati equation is proved.
Based on that, the optimal feedback control of the control problem is given. |
Keywords： |
Stochastic evolution equation Stochastic linear quadratic control
problem Optimal feedback control Unbounded control operator |
Classification： |
Stochastic evolution equation, Stochastic linear quadratic control
problem, Optimal feedback control, Unbounded control operator |
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