Delayed stochastic linear-quadratic control problem and related applications

DOI10.1155/2012/835319zbMath1251.93138OpenAlexW2146214818WikidataQ58907437 ScholiaQ58907437MaRDI QIDQ1760858

Zhen Wu, Li Chen, Zhi-Yong Yu

Publication date: 15 November 2012

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/835319

zbMATH Keywords

optimal controlstochastic linear systemquadratic criterion

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (16)

Stochastic maximum principle for SPDEs with delay ⋮ Linear quadratic regulation for discrete‐time systems with multiplicative noise and multiple input delays ⋮ FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Systemic risk and stochastic games with delay ⋮ Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls ⋮ Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays ⋮ A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ Anticipated backward stochastic differential equations with quadratic growth ⋮ Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes ⋮ Linear quadratic regulation for discrete-time systems with state delays and multiplicative noise ⋮ A new optimal portfolio selection model with owner-occupied housing ⋮ Linear quadratic optimal control problems of delayed backward stochastic differential equations ⋮ Solution to stochastic LQ control problem for Itô systems with state delay or input delay ⋮ Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching ⋮ Recurrent neural networks for stochastic control problems with delay ⋮ Stochastic maximum principle for problems with delay with dependence on the past through general measures

Cites Work

• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• Maximum principle for the stochastic optimal control problem with delay and application
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Solution of forward-backward stochastic differential equations
• Anticipated backward stochastic differential equations
• Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
• A Delayed Black and Scholes Formula
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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