TY  - JOUR
ID  - Duncan2017
LB  - Duncan2017
AU  - Duncan, Tyrone E.
AU  - Pasik-Duncan, Bozenna
TI  - A direct approach to linear-quadratic stochastic control
ST  - A direct approach to linear-quadratic stochastic control
JO  - Opuscula Math.
JA  - Opuscula Math.
JF  - Opuscula Mathematica
PY  - 2017
VL  - 37
IS  - 6
SP  - 821
EP  - 827
DO  - http://dx.doi.org/10.7494/OpMath.2017.37.6.821
UR  - http://dx.doi.org/10.7494/OpMath.2017.37.6.821
AB  - 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 family of fractional Brownian motions.
KW  - linear-quadratic Gaussian control
KW  - Riccati equation for optimization
KW  - stochastic control
SN  - 1232-9274
ER  -