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<p>The author studies a stochastic linear quadratic (SLQ for short) optimal control problem for systems governed by stochastic evolution equations, where the control operator in the drift term may be unbounded. Under the condition that the cost functional is uniformly convex, the well-posedness of the operator-valued Riccati equation is proved. Based on that, the optimal feedback control of the control problem is given.</p>

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Stochastic Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations with Unbounded Control Operator

  • 期刊论文

  • 发表日期：

    2025年7月28日

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  • Yan Wang

摘要

The author studies a stochastic linear quadratic (SLQ for short) optimal control problem for systems governed by stochastic evolution equations, where the control operator in the drift term may be unbounded. Under the condition that the cost functional is uniformly convex, the well-posedness of the operator-valued Riccati equation is proved. Based on that, the optimal feedback control of the control problem is given.