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Constrained Stochastic LQ Optimal Control Problem with Random Coefficients on Infinite Time Horizon

Pu, JY; Zhang, Q

Zhang, Q (corresponding author), Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China.; Zhang, Q (corresponding author), Fudan Univ, Shanghai Key Lab Contemporary Appl Math, Shanghai 200433, Peoples R China.

APPLIED MATHEMATICS AND OPTIMIZATION, 2021; 83 (2): 1005

Abstract

In this paper we study a control-constrained stochastic LQ optimal control problem with random coefficients on the infinite time horizon. For this, tw......

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