LQ control of forward and backward stochastic difference system
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Cites work
- A general maximum principle for optimal control of forward-backward stochastic systems
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
- A Maximum Principle for Stochastic Control with Partial Information
- A maximum principle for stochastic optimal control with terminal state constraints, and its applications
- A weak Galerkin finite element scheme with boundary continuity for second-order elliptic problems
- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
- Asset pricing with a forward--backward stochastic differential utility
- Backward-forward stochastic differential equations
- Contrôle stochastique avec informations partielles et applications à la Finance
- Forward-backward linear quadratic stochastic optimal control problem with delay
- General linear forward and backward stochastic difference equations with applications
- scientific article; zbMATH DE number 5946386 (Why is no real title available?)
- scientific article; zbMATH DE number 1343080 (Why is no real title available?)
- Infinite horizon optimal control for mean-field stochastic delay systems driven by Teugels martingales under partial information
- Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
- Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps
- Linear quadratic optimal control for a class of continuous-time nonhomogeneous Markovian jump linear systems in infinite time horizon
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
- Optimal control of discrete-time switched linear systems
- Solution to stochastic LQ control problem for Itô systems with state delay or input delay
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
Cited in
(8)- General linear forward and backward stochastic difference equations with applications
- LQ control of Itô stochastic system with asymmetric information
- Solution to the forward and backward stochastic difference equations with asymmetric information and application
- Exact controllability of forward and backward stochastic difference system
- Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications
- Stochastic LQ control with extra measurability restriction
- Uncertain stochastic linear quadratic control subject to forward and backward multi-stage systems
- Decentralized control of forward and backward stochastic difference system with nested asymmetric information
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