Constrained stochastic LQ control on infinite time horizon with regime switching (Q5024340): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3159743116 / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q114011508 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 2104.11960 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear Quadratic Optimal Stochastic Control with Random Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: Infinite Horizon and Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and partial differential equations with quadratic growth. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic linear quadratic optimal control problems in infinite horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a Matrix Riccati Equation of Stochastic Control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Linear-Quadratic Control via Semidefinite Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tracking a Financial Benchmark Using a Few Assets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time Markov chains and applications. A two-time-scale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank

Latest revision as of 20:50, 27 July 2024

scientific article; zbMATH DE number 7466626
Language Label Description Also known as
English
Constrained stochastic LQ control on infinite time horizon with regime switching
scientific article; zbMATH DE number 7466626

    Statements

    Constrained stochastic LQ control on infinite time horizon with regime switching (English)
    0 references
    0 references
    0 references
    0 references
    31 January 2022
    0 references
    stochastic LQ control
    0 references
    regime switching
    0 references
    infinite time horizon
    0 references
    extended stochastic Riccati equation
    0 references
    nonnegative solutions
    0 references
    0 references

    Identifiers

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