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Different analytical tools from the ‘open-loop approach’ (i.e., Pontryagin’s maximum principle), and the ‘closed-loop approach’ (i.e., stochastic Riccati equation) were introduced in Sect. 2.3 to conclude improved regularity properties of the unique optimal pair \(\big (X^*(\cdot ), U^*(\cdot )\big )\) to Problem (SLQ); in particular, they were used to verify Lemma 2.7 , which contains bounds for \(\big (X^*(\cdot ), U^*(\cdot )\big )\) in strong norms.

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Discretization Based on the Open-Loop Approach

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  • 发表日期：

    2026年

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  • Andreas Prohl,
  • Yanqing Wang

摘要

Different analytical tools from the ‘open-loop approach’ (i.e., Pontryagin’s maximum principle), and the ‘closed-loop approach’ (i.e., stochastic Riccati equation) were introduced in Sect. 2.3 to conclude improved regularity properties of the unique optimal pair \(\big (X^*(\cdot ), U^*(\cdot )\big )\) to Problem (SLQ); in particular, they were used to verify Lemma 2.7 , which contains bounds for \(\big (X^*(\cdot ), U^*(\cdot )\big )\) in strong norms.