An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem (Q4650630): Difference between revisions

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scientific article; zbMATH DE number 2134960

Language	Label	Description	Also known as
English	An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem	scientific article; zbMATH DE number 2134960

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instance of

scholarly article

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title

An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem (English)

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Optimization Methods and Software

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publication date

18 February 2005

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zbMATH Keywords

stochastic LQR problem

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iterative method

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stochastic Riccati differential equations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10556780310001636657

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cites work

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

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Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach

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Sufficient conditions of optimality for stochastic systems with controllable diffusions

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Q3878440

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The regulator problem with indefinite quadratic cost for boundary control systems: the finite horizon case

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Backward stochastic differential equations and applications to optimal control

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Adapted solution of a backward stochastic differential equation

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Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

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Q4255599

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Identifiers

zbMATH Open document ID

1067.93063

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DOI

10.1080/10556780310001636657

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4650630

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@@ Property / full work available at URL @@
+https://doi.org/10.1080/10556780310001636657
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+W2048648086
@@ Property / OpenAlex ID: W2048648086 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
+Normal rank
@@ Property / cites work @@
+Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
+Normal rank
@@ Property / cites work @@
+Sufficient conditions of optimality for stochastic systems with controllable diffusions
+Normal rank
@@ Property / cites work @@
+Q3878440
@@ Property / cites work: Q3878440 / rank @@
+Normal rank
@@ Property / cites work @@
+The regulator problem with indefinite quadratic cost for boundary control systems: the finite horizon case
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank