The Riccati Equations of Stochastic Control

Mathematical Concepts and Methods in Science and Engineering - Mathematical Methods in Robust Control of Linear Stochastic Systems ◽

10.1007/978-0-387-35924-3_4 ◽

2007 ◽

pp. 109-157

Keyword(s):

Stochastic Control ◽

Riccati Equations

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/140956051 ◽

2015 ◽

Vol 53 (6) ◽

pp. 3673-3689 ◽

Cited By ~ 10

Author(s):

Kai Du

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Optimal Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Solvability Conditions ◽

Stochastic Control Problems

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A New Approach to Linearly Perturbed Riccati Equations Arising in Stochastic Control

Applied Mathematics & Optimization ◽

10.1007/s002459900070 ◽

1998 ◽

Vol 37 (1) ◽

pp. 99-126 ◽

Cited By ~ 70

Author(s):

M. D. Fragoso

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

New Approach

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ARE-type iterations for rational Riccati equations arising in stochastic control

2011 Chinese Control and Decision Conference (CCDC) ◽

10.1109/ccdc.2011.5968172 ◽

2011 ◽

Author(s):

Eric King-wah Chu ◽

Tiexiang Li ◽

Wen-Wei Lin

Keyword(s):

Stochastic Control ◽

Riccati Equations

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Discrete-time Riccati equations of stochastic control

Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems ◽

10.1007/978-1-4419-0630-4_5 ◽

2009 ◽

pp. 131-183

Author(s):

Vasile Drăgan ◽

Toader Morozan ◽

Adrian-Mihail Stoica

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Riccati Equations

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Almost-periodic solutions for Riccati equations of stochastic control

Applied Mathematics & Optimization ◽

10.1007/bf01189450 ◽

1994 ◽

Vol 30 (2) ◽

pp. 127-133 ◽

Cited By ~ 2

Author(s):

T. Morozan

Keyword(s):

Periodic Solutions ◽

Stochastic Control ◽

Riccati Equations ◽

Almost Periodic Solutions ◽

Almost Periodic

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General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/s0363012901387550 ◽

2003 ◽

Vol 42 (1) ◽

pp. 53-75 ◽

Cited By ~ 71

Author(s):

Shanjian Tang

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Random Coefficients ◽

Optimal Stochastic Control ◽

General Linear ◽

Control Problems ◽

Linear Quadratic ◽

Stochastic Control Problems

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On the Riccati equations of stochastic control

Optimization, Optimal Control and Partial Differential Equations ISNM 107 ◽

10.1007/978-3-0348-8625-3_21 ◽

1992 ◽

pp. 231-237 ◽

Cited By ~ 2

Author(s):

Toader Morozan

Keyword(s):

Stochastic Control ◽

Riccati Equations

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On the existence of maximal solution for generalized algebraic Riccati equations arising in stochastic control

Systems & Control Letters ◽

10.1016/0167-6911(90)90018-p ◽

1990 ◽

Vol 14 (3) ◽

pp. 233-239 ◽

Cited By ~ 27

Author(s):

Carlos E. de Souza ◽

Marcelo D. Fragoso

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Maximal Solution ◽

Algebraic Riccati Equations

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A modified Newton's method for rational Riccati equations arising in stochastic control

2011 International Conference on Communications, Computing and Control Applications (CCCA) ◽

10.1109/ccca.2011.6031219 ◽

2011 ◽

Cited By ~ 1

Author(s):

Eric King-wah Chu ◽

Tiexiang Li ◽

Wen-Wei Lin ◽

Chang-Yi Weng

Keyword(s):

Stochastic Control ◽

Newton’S Method ◽

Newton's Method ◽

Riccati Equations ◽

Modified Newton’S Method

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Global solutions of a class of discrete-time backward nonlinear equations on ordered Banach spaces with applications to Riccati equations of stochastic control

Optimal Control Applications and Methods ◽

10.1002/oca.2015 ◽

2012 ◽

Vol 34 (2) ◽

pp. 164-190 ◽

Cited By ~ 18

Author(s):

V. M. Ungureanu ◽

V. Dragan ◽

T. Morozan

Keyword(s):

Banach Spaces ◽

Stochastic Control ◽

Nonlinear Equations ◽

Discrete Time ◽

Global Solutions ◽

Riccati Equations ◽

Ordered Banach Spaces

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