Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system (Q5745691): Difference between revisions

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scientific article; zbMATH DE number 6252599

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English	Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system	scientific article; zbMATH DE number 6252599

Statements

instance of

scholarly article

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title

Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system (English)

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published in

Asian Journal of Control

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publication date

30 January 2014

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zbMATH Keywords

stochastic differential equation

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optimal control

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nonzero-sum stochastic differential game

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linear-quadratic problem

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author

Zhi-Yong Yu

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/asjc.406

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cites work

Adapted solution of a backward stochastic differential equation

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Stochastic Differential Utility

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Backward Stochastic Differential Equations in Finance

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Optimal consumption and portfolio selection with stochastic differential utility

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Optimal contracts in continuous-time models

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Hedging options for a large investor and forward-backward SDE's

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Nonzero sum linear–quadratic stochastic differential games and backward–forward equations

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Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games

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Linear-Quadratic Control of Backward Stochastic Differential Equations

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Backward-forward stochastic differential equations

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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Solution of forward-backward stochastic differential equations

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation

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Identifiers

zbMATH Open document ID

1282.93280

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DOI

10.1002/asjc.406

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5745691

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+MaRDI publication profile
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+https://doi.org/10.1002/asjc.406
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+W2053274077
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@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio selection with stochastic differential utility
+Normal rank
@@ Property / cites work @@
+Optimal contracts in continuous-time models
@@ Property / cites work: Optimal contracts in continuous-time models / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
+Normal rank
@@ Property / cites work @@
+Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
+Normal rank
@@ Property / cites work @@
+Linear-Quadratic Control of Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Solution of forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
+Normal rank
@@ Property / cites work @@
+Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5745691