Characterization of optimal feedback for stochastic linear quadratic control problems
From MaRDI portal
Publication:2296103
DOI10.1186/s41546-017-0022-7zbMath1432.93384arXiv1602.08995WikidataQ59524038 ScholiaQ59524038MaRDI QIDQ2296103
Qi Lü, Tian Xiao Wang, Zhang, X.
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.08995
feedback control; backward stochastic differential equation; backward stochastic Riccati equation; stochastic linear quadratic problem
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93B52: Feedback control
93C05: Linear systems in control theory
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
Related Items
Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions, Unnamed Item, Optimal control for controllable stochastic linear systems, Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems, Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies, Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions, Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems, A concise introduction to control theory for stochastic partial differential equations, Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls, Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients, Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- A financial market with interacting investors: does an equilibrium exist?
- Well-posedness of backward stochastic differential equations with general filtration
- Transposition method for backward stochastic evolution equations revisited, and its application
- \(L^p\) solutions of backward stochastic differential equations.
- Stochastic Hamilton–Jacobi–Bellman Equations
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
- Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients
- General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
- On a Matrix Riccati Equation of Stochastic Control
- A Matrix Differential Equation of Riccati Type