Linear Quadratic Optimal Stochastic Control with Random Coefficients

DOI10.1137/0314028MaRDI QIDQ4096849zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Michel Bismut

Publication date 1976

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0314028

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Cited in

(only showing first 100 items - show all)

• Optimal stochastic regulators with state-dependent weights
• Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
• Multi-dimensional non-Markovian backward stochastic differential equations of interactively quadratic generators
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
• Seierstad sufficient conditions for stochastic optimal control problems with infinite horizon
• Continuous-time mean-variance portfolio selection with random horizon
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• Reflected quadratic BSDEs driven by \(G\)-Brownian motions
• Stochastic stability of a class of nonlinear differential equations of Ito type
• Indefinite linear quadratic optimal control problem for uncertain random discrete-time systems
• Sequential convex programming for non-linear stochastic optimal control
• Optimal control and quantization for discrete-time stochastic systems with input delay
• Backward stochastic differential equations and applications to optimal control
• Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
• Mean-field stochastic linear quadratic control problem with random coefficients
• Solution to stochastic LQR problem with multiple inputs
• The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth
• A kind of optimal investment problem under inflation and uncertain time horizon
• On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
• Characterization of optimal feedback for stochastic linear quadratic control problems
• On the existence of optimal controls for reflected McKean-Vlasov stochastic differential equations
• Stochastic linear-quadratic control with a jump and regime switching on a random horizon
• Optimal control for discrete-time singular stochastic systems with input delay
• The randomization method in stochastic optimal control
• Sensitivity results in stochastic optimal control: a Lagrangian perspective
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Linear forward-backward stochastic differential equations with random coefficients
• General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
• Comparison theorems for multidimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control
• A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
• Linear quadratic mean field Stackelberg differential games
• Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise
• Optimal regulator for a class of nonlinear stochastic systems with random coefficients
• Constrained stochastic LQ control with regime switching and application to portfolio selection
• Optimal consumption-investment under partial information in conditionally log-Gaussian models
• Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
• Necessary first-order and second-order optimality conditions in discrete-time stochastic systems
• Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
• Infinite horizon discounted LQ optimal control problems for mean-field switching diffusions
• Linear stochastic degenerate Sobolev equations and applications^†
• Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
• Optimality conditions of controlled backward doubly stochastic differential equations
• Optimal control of SDEs with expected path constraints and related constrained FBSDEs
• On one-dimensional Riccati diffusions
• Stochastic singular optimal control problem of switching systems with constraints
• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients
• Notes on backward stochastic differential equations for computing XVA
• A concise introduction to control theory for stochastic partial differential equations
• Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
• Stochastic LQ control and associated Riccati equation of PDEs driven by state- and control-dependent white noise
• A parametric optimization approach for uncertain linear quadratic models
• LQ control of system governed by backward stochastic difference equations and applications
• Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
• Stochastic linear quadratic control problem of switching systems with constraints
• \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
• Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model
• Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
• Stochastic minimum-energy control
• LQ control of Itô stochastic system with asymmetric information
• On continuous-time constrained stochastic linear-quadratic control
• Complexity reduction of large-scale stochastic systems using linear quadratic Gaussian balancing
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
• On discrete-time Riccati-like matrix difference equations with random coefficients
• Mixed optimal control for discrete-time stochastic systems with random coefficients
• Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
• Mean-variance portfolio selection of cointegrated assets
• New results on stochastic systems excited by white noise powers
• Linear-convex partially observed optimal control problem with Markov chain and input constraint
• The piecewise parametric optimal control of uncertain linear quadratic models
• Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
• Stability properties of systems of linear stochastic differential equations with random coefficients
• Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
• Optical projection equations for reduced-order modelling, estimation, and control of linear systems with multiplicative white noise
• Weak closed-loop solvability of linear quadratic stochastic optimal control problems with partial information
• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• Delayed optimal control of stochastic LQ problem
• Backward stochastic Volterra integral equations with jumps and some related problems
• Near-maximum principle for general recursive utility optimal control problem
• Uncertain stochastic linear quadratic control subject to forward and backward multi-stage systems
• Linear-quadratic optimal control under non-Markovian switching
• Decentralized control of forward and backward stochastic difference system with nested asymmetric information
• Backward stochastic partial differential equations with quadratic growth
• Linear-quadratic stochastic teams and zero-sum differential games for jump-diffusion systems with Markovian-switching coefficients under partial observations
• Stochastic linear-quadratic optimal control problems with multi-dimensional state, random coefficients and regime switching
• Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
• Backward stochastic differential equations with unbounded generators
• Mean-field type quadratic BSDEs
• Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
• On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
• Irregular LQG optimal control problem involving multiplicative noise
• Asymmetric information control for stochastic systems with different intermittent observations
• A perturbation analysis of stochastic matrix Riccati diffusions
• Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
• Hurwicz model of uncertain linear quadratic optimal control with jump
• A general optimality conditions for stochastic control problems of jump diffusions
• Multi-dimensional optimal trade execution under stochastic resilience

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