Equivalent cost functionals and stochastic linear quadratic optimal control problems

DOI10.1051/COCV/2011206MaRDI QIDQ4911009zbMATH OpenOpenAlexFDO

Authors Zhiyong Yu

Publication date 13 March 2013

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/cocv/2011206

zbMATH Keywords

forward-backward stochastic differential equationstochastic maximum principleRiccati equationstochastic Hamiltonian systemstochastic linear quadratic (LQ) problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cited in

(21)

• \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
• Forward–backward stochastic differential equations with delay generators
• Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
• Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
• Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
• An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
• Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
• Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games
• Dynamic optimization problems for mean-field stochastic large-population systems
• Solvability of indefinite stochastic LQ optimal control problems for jump diffusion models
• A Hilbert space method to LQ optimal control of conditional McKean-Vlasov dynamics
• Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
• On path-dependent multidimensional forward-backward SDEs
• On well-posedness of forward-backward SDEs -- a unified approach
• Equivalent stochastic control problems
• Indefinite mean-field type linear-quadratic stochastic optimal control problems
• Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations
• Linear quadratic optimal control problems for conditional mean-field stochastic differential equations under partial information
• Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games
• An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
• Optimal control for controllable stochastic linear systems

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