Displaying similar documents to “Gaussian density estimates for the solution of singular stochastic Riccati equations”

Stochastic differential inclusions

Michał Kisielewicz (1997)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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The definition and some existence theorems for stochastic differential inclusions depending only on selections theorems are given.

Equivalent cost functionals and stochastic linear quadratic optimal control problems

Zhiyong Yu (2013)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper is concerned with the stochastic linear quadratic optimal control problems (LQ problems, for short) for which the coefficients are allowed to be random and the cost functionals are allowed to have negative weights on the square of control variables. We propose a new method, the equivalent cost functional method, to deal with the LQ problems. Comparing to the classical methods, the new method is simple, flexible and non-abstract. The new method can also be applied to deal with...

Maximum principle for forward-backward doubly stochastic control systems and applications

Liangquan Zhang, Yufeng Shi (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short)....

Stochastic differential inclusions

Michał Kisielewicz (1999)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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The definition and some existence theorems for stochastic differential inclusion dZₜ ∈ F(Zₜ)dXₜ, where F and X are set valued stochastic processes, are given.