A Simple Proof of Indefinite Linear-Quadratic Stochastic Optimal Control With Random Coefficients

DOI10.1109/TAC.2020.2970982MaRDI QIDQ5853963zbMATH OpenOpenAlexFDO

Authors Jun-Hee Moon, T. E. Duncan

Publication date 12 March 2021

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2020.2970982

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cited in

(6)

• Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
• Optimal regulators for a class of nonlinear stochastic systems
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Stochastic optimal control problems of discrete‐time Markov jump systems
• Indefinite LQ optimal control for stochastic Takagi-Sugeno fuzzy system under sensor data scheduling: finite-horizon case
• A grid-based searching algorithm for observer-based multiobjective control of T-S fuzzy stochastic jump-diffusion systems

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