Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information (Q2003808): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Import241208061232 (talk | contribs)
Normalize DOI.
 
(4 intermediate revisions by 4 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.automatica.2020.109169 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.automatica.2020.109169 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3048060871 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum principle for the stochastic optimal control problem with delay and application / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset and liability management under a continuous-time mean-variance optimization framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solution of forward-backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward linear quadratic stochastic optimal control problem with delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4139359 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4842684 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Anticipated backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption and portfolio selection with stochastic differential utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Introduction to Optimal Control of FBSDE with Incomplete Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.AUTOMATICA.2020.109169 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 17:57, 16 December 2024

scientific article
Language Label Description Also known as
English
Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
scientific article

    Statements

    Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    5 October 2020
    0 references
    LQ optimal control
    0 references
    forward-backward stochastic differential equation
    0 references
    time-delay
    0 references
    optimal filtering
    0 references
    recursive utility
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references