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T. Levajković:
"The stochastic linear quadratic regulator problem: Theory and numerical approximation";
Talk: ASD 2018 - 7th Austrian Stochastics Days, WU Vienna, Austria; 2018-09-13 - 2018-09-14.

The stochastic linear quadratic regulator (SLQR) problem arise naturally in science and engineering, e.g. electronics circuits and mathematical finance. We study the infinite dimensional SLQR problem and show that the optimal control is given in feedback form in terms of a Riccati equation. We investigate the numerical approximation of the problem, in particular, the convergence of Riccati operators and the numerical solution of the state equation. In addition, we provide a numerical framework for solving this problem using a polynomial chaos expansion approach. Numerical experiments of specific applications show the performance of the proposed method.