Linear quadratic optimal control: from deterministic to stochastic

Shanjian Tang (Fudan University)
Wednesday, February 4, 2015 - 6:00pm
HU Berlin, Rudower Chaussee 25, 12489 Berlin, Room 1.115

Richard Kalman's work on linear quadratic optimal control theory for ordinary differential equations is a milestone in the developments of deterministic optimal control theory. Its extension to stochastic differential equations is interesting both in theory and application, and has attracted a lot of attentions since early sixties in the last century. In this talk, I shall review some of these studies, expose some mathematical difficulties therein, and also give some unsolved problems.