A direct approach to linear-quadratic stochastic control

Tyrone E. Duncan, Bozenna Pasik-Duncan
2017 Opuscula Mathematica  
A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic differential equations with a stochastic maximum principle or the use of a dynamic programming principle. The appropriate Riccati equation is obtained as part of the optimization problem. The noise processes can be fairly general including the
more » ... ral including the family of fractional Brownian motions.
doi:10.7494/opmath.2017.37.6.821 fatcat:pacyixx6urbatduic2eyn5apcy