Article1986

An Exact Formula for a Linear Quadratic Adaptive Stochastic Optimal Control Law

16 citations0/0 files storedSIAM Journal on Control and Optimization

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Stochastic processes and financial applications Advanced Control Systems Optimization Adaptive Dynamic Programming Control

Abstract

For a Linear Quadratic Adaptive Stochastic Optimal Control Problem a formula for the optimal control is obtained by applying variational methods to an equivalent problem obtained from the Girsanov transformation. The formula does depend on a quantity defined through a martingale representation of the conditional remaining cost.

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References

1976Linear Quadratic Optimal Stochastic Control with Random Coefficients 1982Optimal Control for Partially Observed Diffusions 1983On the Relation of Zakai’s and Mortensen’s Equations 1977The Optimal Control of a Stochastic System 1982Nonlinear Semigroup for Controlled Partially Observed Diffusions

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