A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation

DOI10.1080/07362990802286533zbMath1151.93035OpenAlexW1965475757MaRDI QIDQ3548433

Jiong-min Yong

Publication date: 12 December 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802286533

zbMATH Keywords

forward-backward stochastic differential equationsgeneralized expectationstochastic linear quadratic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (6)

On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application ⋮ Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps ⋮ Mean-variance portfolio selection under no-shorting rules: a BSDE approach ⋮ Maximum principle for differential games of forward-backward stochastic systems with applications ⋮ Forward-backward stochastic differential equations with mixed initial-terminal conditions ⋮ Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance

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