Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
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Publication:1741993
DOI10.1007/s11425-015-0776-6zbMath1383.93095OpenAlexW2635078409MaRDI QIDQ1741993
Publication date: 11 April 2018
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-015-0776-6
Sensitivity, stability, well-posedness (49K40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items (10)
An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations ⋮ Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System ⋮ Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems ⋮ 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 of Markovian regime switching system ⋮ Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients ⋮ Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system ⋮ Finite and infinite horizon indefinite linear quadratic optimal control for discrete-time singular Markov jump systems ⋮ Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process ⋮ One kind of linear-quadratic zero-sum stochastic differential game with jumps
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