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

Latest revision as of 17:15, 7 June 2024

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

Statements

instance of

scholarly article

0 references

title

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

0 references

0 references

0 references

Optimization Methods and Software

0 references

publication date

18 February 2005

0 references

zbMATH Keywords

stochastic LQR problem

0 references

iterative method

0 references

stochastic Riccati differential equations

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1080/10556780310001636657

0 references

cites work

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

0 references

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

0 references

Sufficient conditions of optimality for stochastic systems with controllable diffusions

0 references

Q3878440

0 references

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

0 references

Backward stochastic differential equations and applications to optimal control

0 references

Adapted solution of a backward stochastic differential equation

0 references

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

0 references

Q4255599

0 references

Identifiers

zbMATH Open document ID

1067.93063

0 references

DOI

10.1080/10556780310001636657

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4650630

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/10556780310001636657
+Normal rank
@@ Property / OpenAlex ID @@
+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
@@ links / mardi / name / links / mardi / name @@
+Publication:4650630