Riccati equation arising in the boundary control of stochastic hyperbolic systems |
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Authors: | Franco Flandoli |
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Institution: | Dipartimento di Matematica , Unikversità di Torino Via Carlo Alberto 10 , Torino, 10123, Italy |
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Abstract: | A Riccati equation of stochastic control theory is studied directly. The equation arises in the synthesis of a linear quadratic regulator problem for systems governed by stochastic partial differential equations of hyperbolic type, with contorl acting on the boundary through Dirichlet of Neumann conditions |
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