Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients

Details Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients

2007-07-04

arxiv.org/abs/0707.0606v2

Mathematics

Probability

Scientific paper

We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we introduce a Backward Stochastic Riccati Equation and a dual backward stochastic equation, both considered in the whole time line. Besides some stabilizability conditions we prove existence of a solution for the two previous equations defined as limit of suitable finite horizon approximating problems. This allows to perform the synthesis of the optimal control.

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