Applied Mathematics and Optimization, Vol.30, No.2, 127-133, 1994
Almost-Periodic Solutions for Riccati-Equations of Stochastic-Control
We consider an average quadratic cost criteria for affine stochastic differential equations with almost-periodic coefficients. Under stabilizability and detectability conditions we show that the Riccati equation associated with the quadratic control problem has a unique almost-periodic solution. In the periodic case the corresponding result is proved in [4].