Stochastic linear quadratic optimal control problems with random coefficients

DOI10.1142/S0252959900000339MaRDI QIDQ1586099zbMATH OpenOpenAlexFDO

Authors Shuping Chen, Jiongmin Yong

Publication date 12 March 2001

Published in Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0252959900000339

zbMATH Keywords

Malliavin calculusrandom coefficientscontraction mapping theoremstochastic Riccati equationstochastic linear quadratic control

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

Recommendations

• Stochastic linear quadratic optimal control problems
• scientific article; zbMATH DE number 1827975
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
• Linear-quadratic optimal control for backward stochastic differential equations with random coefficients

Cited in

(22)

• Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
• Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
• Stochastic linear quadratic optimal control problems
• Mean-variance portfolio selection of cointegrated assets
• Equivalent cost functionals and stochastic linear quadratic optimal control problems
• Stochastic \(H_2/H_\infty\) control with random coefficients
• Optimal position targeting with stochastic linear-quadratic costs
• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• On the stochastic linear quadratic optimal control problem by piecewise constant controls: the infinite horizon time case
• Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
• scientific article; zbMATH DE number 1827975 (Why is no real title available?)
• Linear quadratic optimal control: From determininstic to stochastic cases
• Stochastic optimality in the problem on linear regulator perturbed by a sequence of dependent random variables
• Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients
• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
• Linear forward-backward stochastic differential equations with random coefficients
• scientific article; zbMATH DE number 6481331 (Why is no real title available?)
• Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
• A direct approach to linear-quadratic stochastic control
• Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
• Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
• Control variable parameterization and optimization method for stochastic linear quadratic models

This page was built for publication: Stochastic linear quadratic optimal control problems with random coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1586099)