Optimal control for a linear quadratic problem with a stochastic time scale
From MaRDI portal
Recommendations
- Stochastic linear quadratic control problem on time scales
- Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales
- On optimal stochastic linear quadratic control with inversely proportional time-weighting in the cost
- The linear-Quadratic Control Problem Revisited
- Time invariance of optimal control in a stochastic linear controller design with dynamic scaling of coefficients
Cites work
- A law of the iterated logarithm for stochastic integrals
- A model of non-Gaussian diffusion in heterogeneous media
- A priori bound for the supremum of solutions of stable stochastic differential equations
- An Accelerated-Time Model for Response Curves
- Estimation of the input parameters in the Feller neuronal model
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- scientific article; zbMATH DE number 3682726 (Why is no real title available?)
- scientific article; zbMATH DE number 3732981 (Why is no real title available?)
- scientific article; zbMATH DE number 3599198 (Why is no real title available?)
- scientific article; zbMATH DE number 3435336 (Why is no real title available?)
- scientific article; zbMATH DE number 1944275 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- scientific article; zbMATH DE number 1546925 (Why is no real title available?)
- Mathematical methods for financial markets.
- On a Stochastic Optimality of the Feedback Control in the LQG-Problem
- On stochastic optimality for a linear controller with attenuating disturbances
- Pricing of the time-change risks
- Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
- Stochastic differential equations. An introduction with applications.
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Trading volume in models of financial derivatives
- Understanding the implied volatility surface for options on a diversified index
- When is a stochastic integral a time change of a diffusion?
Cited in
(12)- Time invariance of optimal control in a stochastic linear controller design with dynamic scaling of coefficients
- Stochastic linear quadratic control problem on time scales
- Linear quadratic optimal control: From determininstic to stochastic cases
- scientific article; zbMATH DE number 3886636 (Why is no real title available?)
- scientific article; zbMATH DE number 7401810 (Why is no real title available?)
- The linear-Quadratic Control Problem Revisited
- On optimal stochastic linear quadratic control with inversely proportional time-weighting in the cost
- Optimal Linear-Quadratic Regulator for a Stochastic System under Mutually Inverse Time Preferences in the Cost
- Hamilton-Jacobi theory over time scales and applications to linear-quadratic problems
- From calendar time to business time: the case of commodity markets
- A mixed linear quadratic optimal control problem with a controlled time horizon
- Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales
This page was built for publication: Optimal control for a linear quadratic problem with a stochastic time scale
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2034831)
