Stochastic Linear Controlled Systems with Quadratic Cost Revisited

The subject of this article is quite classical. Indeed, the study of optimal control for continuous time diffusion processes began in the early 1960s with the stochastic linear regulator problem. We refer the reader to [ 1 ], [ 2 ], [ 3 ], [ 4 ], [ 8 ], and [ 9 ] for the literature and historical remarks related to the subject. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.