Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients (Q5252510): Difference between revisions

Latest revision as of 03:40, 10 July 2024

scientific article; zbMATH DE number 6441918

Language	Label	Description	Also known as
English	Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients	scientific article; zbMATH DE number 6441918

Statements

instance of

scholarly article

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title

Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients (English)

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author

Shanjian Tang

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published in

SIAM Journal on Control and Optimization

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publication date

2 June 2015

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full work available at URL

https://arxiv.org/abs/1407.5031

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zbMATH Keywords

linear quadratic optimal stochastic control

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Doob-Meyer's decomposition theorem

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general theory of stochastic processes

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Riccati equation

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backward stochastic differential equations

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dynamic programming

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MaRDI profile type

MaRDI publication profile

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cites work

Linear Quadratic Optimal Stochastic Control with Random Coefficients

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Q4171952

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BSDE with quadratic growth and unbounded terminal value

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Quadratic BSDEs with convex generators and unbounded terminal conditions

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Stochastic linear quadratic optimal control problems

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Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales

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Indefinite Stochastic Riccati Equations

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Continuous exponential martingales and BMO

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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Minimization of Risk and Linear Quadratic Optimal Control Theory

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Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.

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Multidimensional Backward Stochastic Riccati Equations and Applications

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Q2741109

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Control of a Solution of a Stochastic Integral Equation

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Q3910361

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Stochastic flows acting on Schwartz distributions

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Adapted solution of a backward stochastic differential equation

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Stochastic Hamilton–Jacobi–Bellman Equations

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Q2712232

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Q3096569

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

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Q4255599

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Identifiers

zbMATH Open document ID

1312.93119

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DOI

10.1137/140979940

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+BSDE with quadratic growth and unbounded terminal value
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+Quadratic BSDEs with convex generators and unbounded terminal conditions
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+Stochastic linear quadratic optimal control problems
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+Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
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+Indefinite Stochastic Riccati Equations
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@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
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@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
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@@ Property / cites work @@
+Minimization of Risk and Linear Quadratic Optimal Control Theory
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@@ Property / cites work @@
+Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
+Normal rank
@@ Property / cites work @@
+Multidimensional Backward Stochastic Riccati Equations and Applications
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@@ Property / cites work @@
+Q2741109
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+Normal rank
@@ Property / cites work @@
+Control of a Solution of a Stochastic Integral Equation
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@@ Property / cites work @@
+Q3910361
@@ Property / cites work: Q3910361 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic flows acting on Schwartz distributions
@@ Property / cites work: Stochastic flows acting on Schwartz distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Q2712232
@@ Property / cites work: Q2712232 / rank @@
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@@ Property / cites work @@
+Q3096569
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@@ Property / cites work @@
+General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
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