Linear Quadratic Optimal Stochastic Control with Random Coefficients

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)

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Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients
Optical projection equations for reduced-order modelling, estimation, and control of linear systems with multiplicative white noise
Stochastic stability of a class of nonlinear differential equations of Ito type
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
Linear quadratic mean field Stackelberg differential games
Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
On one-dimensional Riccati diffusions
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
Reflected quadratic BSDEs driven by \(G\)-Brownian motions
A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
A study of backward stochastic differential equation on a Riemannian manifold
Optimal control and stabilization for Itô systems with input delay
Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
A concise introduction to control theory for stochastic partial differential equations
Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model
Mixed optimal control for discrete-time stochastic systems with random coefficients
Constrained stochastic LQ control with regime switching and application to portfolio selection
LQ control of Itô stochastic system with asymmetric information
On continuous-time constrained stochastic linear-quadratic control
A perturbation analysis of stochastic matrix Riccati diffusions
Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise
Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric
Asymmetric information control for stochastic systems with different intermittent observations
Backward stochastic partial differential equations with quadratic growth
On the stability of matrix-valued Riccati diffusions
Multi-dimensional optimal trade execution under stochastic resilience
Optimal stochastic regulators with state-dependent weights
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
Characterization of optimal feedback for stochastic linear quadratic control problems
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth
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
Stochastic maximum principle for nonlinear optimal control problem of switching systems
Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
Backward stochastic differential equations and applications to optimal control
The maximum principle for the nonlinear stochastic optimal control problem of switching systems
Solution to stochastic LQR problem with multiple inputs
A linear quadratic model based on multistage uncertain random systems
Continuous-time mean-variance portfolio selection with random horizon
Uncertain optimal control of linear quadratic models with jump
A stochastic linear-quadratic problem with Lévy processes and its application to finance
Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
Stochastic linear quadratic control problem of switching systems with constraints
An FBSDE approach to market impact games with stochastic parameters
Optimal consumption-investment under partial information in conditionally log-Gaussian models
On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
Linear stochastic degenerate Sobolev equations and applications^†
Optimal control for discrete-time singular stochastic systems with input delay
Sensitivity results in stochastic optimal control: a Lagrangian perspective
Optimality conditions of controlled backward doubly stochastic differential equations
Limit theorems for BSDE with local time applications to non-linear PDE
The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
On the convergence of the Sakawa-Shindo algorithm in stochastic control
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
A class of discrete time generalized Riccati equations
On discrete-time Riccati-like matrix difference equations with random coefficients
New results on stochastic systems excited by white noise powers
A general optimality conditions for stochastic control problems of jump diffusions
\(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
Near-maximum principle for general recursive utility optimal control problem
Delayed optimal control of stochastic LQ problem
Linear quadratic stochastic control problems with stochastic terminal constraint
Linear-quadratic optimal control under non-Markovian switching
Stability properties of systems of linear stochastic differential equations with random coefficients
Backward stochastic differential equations with unbounded generators
Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients
Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
Constrained stochastic LQ control on infinite time horizon with regime switching
The piecewise parametric optimal control of uncertain linear quadratic models
Stochastic LQ control and associated Riccati equation of PDEs driven by state- and control-dependent white noise
Newton method for stochastic control problems
Sequential convex programming for non-linear stochastic optimal control
Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
Hurwicz model of uncertain linear quadratic optimal control with jump
Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
Mean-variance portfolio selection of cointegrated assets
Stochastic singular optimal control problem of switching systems with constraints
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
Optimal regulators for a class of nonlinear stochastic systems
Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
Indefinite linear quadratic optimal control problem for uncertain random discrete-time systems
On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
Stochastic linear-quadratic control with a jump and regime switching on a random horizon
Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
Optimal regulator for a class of nonlinear stochastic systems with random coefficients
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
Mean-field backward doubly stochastic Volterra integral equations and their applications
Notes on backward stochastic differential equations for computing XVA

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