General linear forward and backward stochastic difference equations with applications

DOI10.1016/J.AUTOMATICA.2018.06.031MaRDI QIDQ1716436zbMATH OpenOpenAlexFDO

Authors Juanjuan Xu, Huanshui Zhang, Lihua Xie

Publication date 5 February 2019

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2018.06.031

zbMATH Keywords

stochastic optimal controlRiccati equationforward and backward stochastic difference equations

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Linear systems in control theory (93C05) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Stochastic difference equations (39A50)

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Cites work

• scientific article; zbMATH DE number 3116987 (Why is no real title available?)
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Cited in

(18)

• Solvability of forward-backward stochastic difference equations with finite states
• A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
• Incentive feedback Stackelberg strategy for the discrete-time stochastic systems
• Solvability of one kind of forward-backward stochastic difference equations
• Decentralized linear-quadratic-Gaussian control of networked control systems with asymmetric information
• LQ control of forward and backward stochastic difference system
• Solution to Delayed Forward and Backward Stochastic Difference Equations and Its Applications
• Explicit solution to delayed forward and backward stochastic differential equations
• Guaranteed cost solution for discrete-time uncertain/nonlinear dynamic games
• Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications
• A BSDE approach to stochastic linear quadratic control problem
• Exact controllability of forward and backward stochastic difference system
• Solution to the forward and backward stochastic difference equations with asymmetric information and application
• A note on fractional differences based on a linear combination between forward and backward differences
• Open-loop and closed-loop Nash equilibria for the LQ stochastic difference game
• Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations
• Linear forward-backward stochastic differential equations with random coefficients
• Linear forward-backward stochastic differential equations

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