Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions (Q6204948): Difference between revisions

Latest revision as of 19:26, 30 December 2024

scientific article; zbMATH DE number 7830345

Language	Label	Description	Also known as
English	Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions	scientific article; zbMATH DE number 7830345

Statements

instance of

scholarly article

0 references

title

Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions (English)

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published in

Memoirs of the American Mathematical Society

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publication date

10 April 2024

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full work available at URL

https://arxiv.org/abs/1901.00978

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zbMATH Keywords

backward stochastic Riccati equation

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stochastic linear quadratic problem

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infinite dimensions

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optimal feedback operator

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transposition solution

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MaRDI profile type

MaRDI publication profile

0 references

cites work

Matrix Riccati equations in control and systems theory

0 references

Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients

0 references

Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

0 references

Fluctuation exponent of the KPZ/stochastic Burgers equation

0 references

Nonlinear filtering and stochastic control. Proceedings of the 3rd 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Cortona, July 1-10, 1981

0 references

Linear Quadratic Optimal Stochastic Control with Random Coefficients

0 references

Q4224212

0 references

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

0 references

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

0 references

Q2873807

0 references

Viscosity Solutions of Hamilton-Jacobi Equations

0 references

A Survey of Infinite-Dimensional Filtering

0 references

Stochastic Equations in Infinite Dimensions

0 references

Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension three

0 references

Q3878440

0 references

Partial Approximate Controllability for Linear Stochastic Control Systems

0 references

Invariant measures for Burgers equation with stochastic forcing

0 references

Backward Stochastic Differential Equations in Finance

0 references

One-Parameter Semigroups for Linear Evolution Equations

0 references

The Schrödinger and Riccati equations

0 references

First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints

0 references

Necessary conditions for stochastic optimal control problems in infinite dimensions

0 references

A financial market with interacting investors: does an equilibrium exist?

0 references

Random motion of strings and related stochastic evolution equations

0 references

Stochastic Neuron Models

0 references

Metric foliations and curvature

0 references

On the Backward Stochastic Riccati Equation in Infinite Dimensions

0 references

Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces

0 references

Energy solutions of KPZ are unique

0 references

The Stochastic Linear Quadratic Control Problem with Singular Estimates

0 references

Solving the KPZ equation

0 references

A theory of regularity structures

0 references

Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing

0 references

Q2825529

0 references

Q4147174

0 references

Stochastic partial differential equations. A modeling, white noise functional approach

0 references

Indefinite Stochastic Riccati Equations

0 references

Dynamic Programming Approach to Stochastic Evolution Equations

0 references

Semiclassical analysis for diffusions and stochastic processes

0 references

Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.

0 references

Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory

0 references

Q5601627

0 references

Q5628582

0 references

Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions

0 references

Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems

0 references

Numerical solutions of backward stochastic differential equations: a finite transposition method

0 references

Characterization of optimal feedback for stochastic linear quadratic control problems

0 references

Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations

0 references

Well-posedness of backward stochastic differential equations with general filtration

0 references

General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions

0 references

Transposition method for backward stochastic evolution equations revisited, and its application

0 references

Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application

0 references

Mathematical Control Theory for Stochastic Partial Differential Equations

0 references

Q5512462

0 references

On backward stochastic evolution equations in Hilbert spaces and optimal control

0 references

The Malliavin Calculus and Related Topics

0 references

Q3998817

0 references

Stochastic Hamilton–Jacobi–Bellman Equations

0 references

Q3996259

0 references

Q3217155

0 references

Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations

0 references

A Matrix Differential Equation of Riccati Type

0 references

Riccati differential equations

0 references

Q3263053

0 references

Quantum theory from a nonlinear perspective. Riccati equations in fundamental physics

0 references

Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points

0 references

Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

0 references

General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

0 references

Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise

0 references

Q3534846

0 references

Stochastic integration in UMD Banach spaces

0 references

Survey of Measurable Selection Theorems

0 references

On a Matrix Riccati Equation of Stochastic Control

0 references

Q3751436

0 references

Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming

0 references

Q4255599

0 references

Control theory and optimization. I: Homogeneous spaces and the Riccati equation in the calculus of variations. Transl. from the Russian by S. A. Vakhrameev

0 references

Identifiers

arXiv ID

1901.00978

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6204948

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+Matrix Riccati equations in control and systems theory
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@@ Property / cites work @@
+Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients
+Normal rank
@@ Property / cites work @@
+Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
+Normal rank
@@ Property / cites work @@
+Fluctuation exponent of the KPZ/stochastic Burgers equation
+Normal rank
@@ Property / cites work @@
+Nonlinear filtering and stochastic control. Proceedings of the 3rd 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Cortona, July 1-10, 1981
+Normal rank
@@ Property / cites work @@
+Linear Quadratic Optimal Stochastic Control with Random Coefficients
+Normal rank
@@ Property / cites work @@
+Q4224212
@@ Property / cites work: Q4224212 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
+Normal rank
@@ Property / cites work @@
+Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
+Normal rank
@@ Property / cites work @@
+Q2873807
@@ Property / cites work: Q2873807 / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity Solutions of Hamilton-Jacobi Equations
@@ Property / cites work: Viscosity Solutions of Hamilton-Jacobi Equations / rank @@
+Normal rank
@@ Property / cites work @@
+A Survey of Infinite-Dimensional Filtering
@@ Property / cites work: A Survey of Infinite-Dimensional Filtering / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Hölder-Sobolev regularity of the solution to the stochastic wave equation in dimension three
+Normal rank
@@ Property / cites work @@
+Q3878440
@@ Property / cites work: Q3878440 / rank @@
+Normal rank
@@ Property / cites work @@
+Partial Approximate Controllability for Linear Stochastic Control Systems
+Normal rank
@@ Property / cites work @@
+Invariant measures for Burgers equation with stochastic forcing
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+One-Parameter Semigroups for Linear Evolution Equations
+Normal rank
@@ Property / cites work @@
+The Schrödinger and Riccati equations
@@ Property / cites work: The Schrödinger and Riccati equations / rank @@
+Normal rank
@@ Property / cites work @@
+First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
+Normal rank
@@ Property / cites work @@
+Necessary conditions for stochastic optimal control problems in infinite dimensions
+Normal rank
@@ Property / cites work @@
+A financial market with interacting investors: does an equilibrium exist?
+Normal rank
@@ Property / cites work @@
+Random motion of strings and related stochastic evolution equations
+Normal rank
@@ Property / cites work @@
+Stochastic Neuron Models
@@ Property / cites work: Stochastic Neuron Models / rank @@
+Normal rank
@@ Property / cites work @@
+Metric foliations and curvature
@@ Property / cites work: Metric foliations and curvature / rank @@
+Normal rank
@@ Property / cites work @@
+On the Backward Stochastic Riccati Equation in Infinite Dimensions
+Normal rank
@@ Property / cites work @@
+Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces
+Normal rank
@@ Property / cites work @@
+Energy solutions of KPZ are unique
@@ Property / cites work: Energy solutions of KPZ are unique / rank @@
+Normal rank
@@ Property / cites work @@
+The Stochastic Linear Quadratic Control Problem with Singular Estimates
+Normal rank
@@ Property / cites work @@
+Solving the KPZ equation
@@ Property / cites work: Solving the KPZ equation / rank @@
+Normal rank
@@ Property / cites work @@
+A theory of regularity structures
@@ Property / cites work: A theory of regularity structures / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing
+Normal rank
@@ Property / cites work @@
+Q2825529
@@ Property / cites work: Q2825529 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4147174
@@ Property / cites work: Q4147174 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic partial differential equations. A modeling, white noise functional approach
+Normal rank
@@ Property / cites work @@
+Indefinite Stochastic Riccati Equations
@@ Property / cites work: Indefinite Stochastic Riccati Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming Approach to Stochastic Evolution Equations
+Normal rank
@@ Property / cites work @@
+Semiclassical analysis for diffusions and stochastic processes
+Normal rank
@@ Property / cites work @@
+Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.
+Normal rank
@@ Property / cites work @@
+Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory
+Normal rank
@@ Property / cites work @@
+Q5601627
@@ Property / cites work: Q5601627 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5628582
@@ Property / cites work: Q5628582 / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
+Normal rank
@@ Property / cites work @@
+Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
+Normal rank
@@ Property / cites work @@
+Numerical solutions of backward stochastic differential equations: a finite transposition method
+Normal rank
@@ Property / cites work @@
+Characterization of optimal feedback for stochastic linear quadratic control problems
+Normal rank
@@ Property / cites work @@
+Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations
+Normal rank
@@ Property / cites work @@
+Well-posedness of backward stochastic differential equations with general filtration
+Normal rank
@@ Property / cites work @@
+General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
+Normal rank
@@ Property / cites work @@
+Transposition method for backward stochastic evolution equations revisited, and its application
+Normal rank
@@ Property / cites work @@
+Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application
+Normal rank
@@ Property / cites work @@
+Mathematical Control Theory for Stochastic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Q5512462
@@ Property / cites work: Q5512462 / rank @@
+Normal rank
@@ Property / cites work @@
+On backward stochastic evolution equations in Hilbert spaces and optimal control
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
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+Normal rank
@@ Property / cites work @@
+Q3998817
@@ Property / cites work: Q3998817 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3217155
@@ Property / cites work: Q3217155 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations
+Normal rank
@@ Property / cites work @@
+A Matrix Differential Equation of Riccati Type
@@ Property / cites work: A Matrix Differential Equation of Riccati Type / rank @@
+Normal rank
@@ Property / cites work @@
+Riccati differential equations
@@ Property / cites work: Riccati differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Q3263053
@@ Property / cites work: Q3263053 / rank @@
+Normal rank
@@ Property / cites work @@
+Quantum theory from a nonlinear perspective. Riccati equations in fundamental physics
+Normal rank
@@ Property / cites work @@
+Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
+Normal rank
@@ Property / cites work @@
+Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
+Normal rank
@@ Property / cites work @@
+Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise
+Normal rank
@@ Property / cites work @@
+Q3534846
@@ Property / cites work: Q3534846 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic integration in UMD Banach spaces
@@ Property / cites work: Stochastic integration in UMD Banach spaces / rank @@
+Normal rank
@@ Property / cites work @@
+Survey of Measurable Selection Theorems
@@ Property / cites work: Survey of Measurable Selection Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+On a Matrix Riccati Equation of Stochastic Control
+Normal rank
@@ Property / cites work @@
+Q3751436
@@ Property / cites work: Q3751436 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Linear-Quadratic Control via Primal-Dual Semidefinite Programming
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Control theory and optimization. I: Homogeneous spaces and the Riccati equation in the calculus of variations. Transl. from the Russian by S. A. Vakhrameev
+Normal rank
@@ Property / DOI @@
+.1090/MEMO/1467
@@ Property / DOI: 10.1090/MEMO/1467 / rank @@
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