Yao, D.D.; Zhang, Zhang, S.; Zhou, X.Y. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
We study stochastic linear--quadratic (LQ) optimal control problems over an infinite horizon, allowing the cost matrices to be indefinite. We develop a systematic approach based on semidefinite programming (SDP). A central issue is the stability of the feedback control; and we show this can be...