Chinese Annals of Mathematics,Series B, Volume. 46, Issue 4, 583(2025)
Stochastic Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations with Unbounded Control Operator
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.
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WANG Yan. Stochastic Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations with Unbounded Control Operator[J]. Chinese Annals of Mathematics,Series B, 2025, 46(4): 583
Received: Sep. 16, 2022
Accepted: Aug. 25, 2025
Published Online: Aug. 25, 2025
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