On Coercivity and the Frequency Domain Condition in Indefinite LQ-Control
arXiv:2010.07401
Abstract
We introduce a coercivity condition as a time domain analogue of the frequency criterion provided by the famous Kalman-Yakubovich-Popov lemma. For a simple stochastic linear quadratic control problem we show how the coercivity condition characterizes the solvability of Riccati equations.
11 pages