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Equivalent cost functionals and stochastic linear quadratic optimal control problems

✍ Scribed by Yu, Zhiyong


Book ID
118054450
Publisher
EDP Sciences
Year
2012
Tongue
English
Weight
233 KB
Volume
19
Category
Article
ISSN
1292-8119

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Abstreot. We study the stochastic regulator problem in HILBERT spaces for systems governed by linear stochastic differential equations with retarded controls and with state and control dependent noise. We use integral RICCATI equations and no reference to a RICCATI differential equation or to the IT