The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events

Abstract

The aim of the article is to expand the results of the theory of Linear Quadratic Control (the state of the system is described with the help of stochastic linear equation while the quality coefficient is of a quadratic form) in the case of random horizon independent of the states of the system. As for the question under consideration the control system horizon is an independent variable with a discreet decomposition and has got a limited number of possible accomplishments. The above mentioned situation takes places when the number of controls is brought out by the outside factor (generally independent of the system).