Deterministic Optimal Control of Ito Stochastic Systems with Random Coefficients
Optimization and Control
2019-03-05 v1
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.
Cite
@article{arxiv.1903.00808,
title = {Deterministic Optimal Control of Ito Stochastic Systems with Random Coefficients},
author = {Hongdan Li and Juanjuan Xu and Huanshui Zhang},
journal= {arXiv preprint arXiv:1903.00808},
year = {2019}
}
Comments
11 pages, 0 figures