On a Matrix Riccati Equation of Stochastic Control

Cited in

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Stochastic linear quadratic regulation for discrete-time linear systems with input delay
Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
Analytical construction of a negative semidefinite solution of algebraic Riccati equations and its application
Stabilizability and detectability of linear periodic systems
The extended periodic Lyapunov lemma
Recursive solution of linear-quadratic Nash games for weakly interconnected systems
Stochastic controllability of linear systems with Markovian jumps
Optical projection equations for reduced-order modelling, estimation, and control of linear systems with multiplicative white noise
Existence and comparison theorems for algebraic Riccati equations for continuous- and discrete-time systems
Quadratic control for linear periodic systems
Existence theorem for the difference Riccati equations
Stationary uncertainty frontiers in macroeconometric models and existence and uniqueness of solutions to matrix Riccati equations
Decentralized control with overlapping information sets
Nonexistence and nonuniqueness of open-loop equilibria in linear- quadratic differential games
Maximal solution of a certain class of periodic Riccati differential equations
Multirate control: A new approach
Analysis of systems with shot noise
On a theorem by W. Hahn
A note on optimal filtering in the presence of unknown biases
Addendum to `On the stabilizability problem in Banach space'
Some new non-Riccati algorithms for continuous-time Kalman-Bucy filtering
On the computation of the optimal H_ norms for two feedback control problems
Continuous and discrete-time Riccati theory: A Popov-function approach
Global stabilization of composite stochastic systems
Global solutions to a game-theoretic Riccati equation of stochastic control
The scaled boundary finite-element method - alias consistent infinitesimal finite-element cell method - for elastodynamics
A new approach to lineary perturbed Riccati equations arising in stochastic control
On stabilizability and exact observability of stochastic systems with their applications.
On a class of rational matrix differential equations arising in stochastic control.
Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
State-feedback \(H^{\infty}\)-type control of linear systems with time-varying parameter uncertainty
A survey of nonsymmetric Riccati equations
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
Perturbations and projections of Kalman-Bucy semigroups
Stochastic linear quadratic optimal control with indefinite control weights and constraint for discrete-time systems
Stochastic linear quadratic optimal control problems in infinite horizon
General linear forward and backward stochastic difference equations with applications
Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems
The stability and stabilization of stochastic delay-time systems
Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints
On uniqueness of strong solution of stochastic systems
Survey of duality between linear quadratic regulation and linear estimation problems for discrete-time systems
Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
Robust cooperative output regulation of multi-agent systems via adaptive event-triggered control
Indefinite LQ optimal control with terminal state constraint for discrete-time uncertain systems
On the robustness of Riccati flows to complete model misspecification
Necessary conditions in stochastic linear quadratic problems and their applications
Equivalent characterizations of detectability and stabilizability for a class of linear time-varying systems
On the synthesis of optimal control for the continuous-time linear stochastic systems with singular mean-square performance index
Existence condition of positive-definite solutions for algebraic matrix Riccati equations
Properties of the solutions of rational matrix difference equations
Lyapunov coupled equations for continuous-time infinite Markov jump linear systems
Newton's method for concave operators with resolvent positive derivatives in ordered Banach spaces
Risk-sensitive control and an optimal investment model. II.
Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
H_ control with regional stability constraints
Properties of a quadratic matrix equation and the solution of the continuous-time algebraic Riccati equation
Generalized Riccati difference and differential equations
On the dependence of the solutions of algebraic and differential game Riccati equations on the parameter \(\mu\)
Indefinite LQ control for discrete-time stochastic systems via semidefinite programming
Solutions for the linear-quadratic control problem of Markov jump linear systems
Existence and comparison theorems for algebraic Riccati equations and Riccati differential and difference equations
On the stability and the concentration of extended Kalman-Bucy filters
Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
Mean field linear-quadratic control: uniform stabilization and social optimality
Two iterative algorithms for stochastic algebraic Riccati matrix equations
A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
Optimal control problem of stochastic systems
Interacting diffusions on positive definite matrices
Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
Stabilization of continuous-time systems against stochastic network uncertainties: fundamental variance bounds
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
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
Statistical arbitrage for multiple co-integrated stocks
A general linear quadratic stochastic control and information value
Unique non-negative definite solution of the time-varying algebraic Riccati equations with applications to stabilization of LTV systems
Control variable parameterization and optimization method for stochastic linear quadratic models
An extended block Golub-Kahan algorithm for large algebraic and differential matrix Riccati equations
Error covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurements
Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
Asymmetric information control for stochastic systems with different intermittent observations
Minimax control in substate space of a system with process uncertainty
Asymptotics of the probability minimizing a ``down-side risk
Optimal stochastic regulators with state-dependent weights
Almost automorphy and Riccati equation
A novel iterative algorithm for solving coupled Riccati equations
Optimal portfolio execution problem with stochastic price impact
Solving linear and quadratic random matrix differential equations: a mean square approach
Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
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
Decentralized hierarchical constrained convex optimization
On long term investment optimality

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