Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications (Q6180268): Difference between revisions

Latest revision as of 19:13, 30 December 2024

scientific article; zbMATH DE number 7791465

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English	Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications	scientific article; zbMATH DE number 7791465

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instance of

scholarly article

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title

Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications (English)

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author

Teng Song

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published in

Optimal Control Applications and Methods

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publication date

19 January 2024

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zbMATH Keywords

exponentially stabilizable

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forward-backward stochastic difference equations

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infinite horizon

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stochastic optimal control

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time delay

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MaRDI profile type

Publication

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cites work

Backward-forward stochastic differential equations

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A maximum principle for fully coupled stochastic control systems of mean-field type

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Forward-backward stochastic differential equations and their applications

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

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Solution of forward-backward stochastic differential equations

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Maximum principle for the stochastic optimal control problem with delay and application

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A type of general forward-backward stochastic differential equations and applications

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Forward-backward linear quadratic stochastic optimal control problem with delay

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A global maximum principle for stochastic optimal control problems with delay and applications

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Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations

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Maximum principle for discrete-time stochastic optimal control problem and stochastic game

0 references

Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems

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General linear forward and backward stochastic difference equations with applications

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Solution to Discrete-Time Linear FBSDEs with Application to Stochastic Control Problem

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Dynamic Conic Finance via Backward Stochastic Difference Equations

0 references

H/sup /spl infin// control and estimation with preview-part II: fixed-size ARE solutions in discrete time

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Stabilization of Discrete-time Systems with Multiplicative Noise and Multiple Delays in the Control Variable

0 references

Delayed Optimal Control of Stochastic LQ Problem

0 references

Time-delay systems: an overview of some recent advances and open problems.

0 references

Control and estimation of systems with input/output delays.

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

A forward-backward stochastic algorithm for quasi-linear PDEs

0 references

Numerical method for backward stochastic differential equations

0 references

An Introductory Approach to Duality in Optimal Stochastic Control

0 references

Q4255599

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On stabilizability and exact observability of stochastic systems with their applications.

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Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls

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Linear Quadratic Regulation and Stabilization of Discrete-Time Systems With Delay and Multiplicative Noise

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Identifiers

Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6180268

@@ Property / DOI @@
-.1002/oca.3023
@@ Property / DOI: 10.1002/oca.3023 / rank @@
-Normal rank
@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A maximum principle for fully coupled stochastic control systems of mean-field type
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
+Normal rank
@@ Property / cites work @@
+Solution of forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Maximum principle for the stochastic optimal control problem with delay and application
+Normal rank
@@ Property / cites work @@
+A type of general forward-backward stochastic differential equations and applications
+Normal rank
@@ Property / cites work @@
+Forward-backward linear quadratic stochastic optimal control problem with delay
+Normal rank
@@ Property / cites work @@
+A global maximum principle for stochastic optimal control problems with delay and applications
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
+Normal rank
@@ Property / cites work @@
+Maximum principle for discrete-time stochastic optimal control problem and stochastic game
+Normal rank
@@ Property / cites work @@
+Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems
+Normal rank
@@ Property / cites work @@
+General linear forward and backward stochastic difference equations with applications
+Normal rank
@@ Property / cites work @@
+Solution to Discrete-Time Linear FBSDEs with Application to Stochastic Control Problem
+Normal rank
@@ Property / cites work @@
+Dynamic Conic Finance via Backward Stochastic Difference Equations
+Normal rank
@@ Property / cites work @@
+H/sup /spl infin// control and estimation with preview-part II: fixed-size ARE solutions in discrete time
+Normal rank
@@ Property / cites work @@
+Stabilization of Discrete-time Systems with Multiplicative Noise and Multiple Delays in the Control Variable
+Normal rank
@@ Property / cites work @@
+Delayed Optimal Control of Stochastic LQ Problem
@@ Property / cites work: Delayed Optimal Control of Stochastic LQ Problem / rank @@
+Normal rank
@@ Property / cites work @@
+Time-delay systems: an overview of some recent advances and open problems.
+Normal rank
@@ Property / cites work @@
+Control and estimation of systems with input/output delays.
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A forward-backward stochastic algorithm for quasi-linear PDEs
+Normal rank
@@ Property / cites work @@
+Numerical method for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+An Introductory Approach to Duality in Optimal Stochastic Control
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+On stabilizability and exact observability of stochastic systems with their applications.
+Normal rank
@@ Property / cites work @@
+Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
+Normal rank
@@ Property / cites work @@
+Linear Quadratic Regulation and Stabilization of Discrete-Time Systems With Delay and Multiplicative Noise
+Normal rank
@@ Property / DOI @@
+.1002/OCA.3023
@@ Property / DOI: 10.1002/OCA.3023 / rank @@
+Normal rank