Optimal stochastic regulators with state-dependent weights (Q2278529): Difference between revisions

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scientific article

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English	Optimal stochastic regulators with state-dependent weights	scientific article

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scholarly article

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Optimal stochastic regulators with state-dependent weights (English)

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Systems \& Control Letters

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publication date

5 December 2019

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zbMATH Keywords

stochastic regulators

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risk-sensitive control

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optimal investment

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MaRDI profile type

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full work available at URL

https://doi.org/10.1016/j.sysconle.2019.104522

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On a Matrix Riccati Equation of Stochastic Control

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Linear Quadratic Optimal Stochastic Control with Random Coefficients

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Stochastic Hamilton–Jacobi–Bellman Equations

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Completeness of security markets and solvability of linear backward stochastic differential equations

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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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Indefinite Stochastic Riccati Equations

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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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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

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

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Stochastic minimum-energy control

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Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions

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Nonlinear optimal tracking control with application to super-tankers for autopilot design

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Global optimal feedback control for general nonlinear systems with nonquadratic performance criteria

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A separation theorem for nonlinear systems

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Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

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Adapted solution of a backward stochastic differential equation

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Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls

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

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Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index

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On the application of minimum principle for solving partially observable risk-sensitive control problems

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Risk-sensitive linear/quadratic/gaussian control

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State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity

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A new risk-sensitive maximum principle

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A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications

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FBSDE approach to utility portfolio selection in a market with random parameters

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Risk-sensitive control for a class of nonlinear systems with multiplicative noise

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Backward stochastic differential equations with unbounded generators

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Mean-variance portfolio selection in a complete market with unbounded random coefficients

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Linear forward-backward stochastic differential equations with random coefficients

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Identifiers

zbMATH Open document ID

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10.1016/j.sysconle.2019.104522

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2278529

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