Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
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Publication:2020318
DOI10.1007/s00245-019-09576-zzbMath1461.93550OpenAlexW2943451194WikidataQ127973557 ScholiaQ127973557MaRDI QIDQ2020318
Publication date: 23 April 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-019-09576-z
random coefficientsinfinite time horizonpension fundstochastic Riccati equationstochastic LQ control problem
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Actuarial mathematics (91G05)
Related Items (6)
FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Infinite horizon Stackelberg differential games with random coefficients under control input constraint ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ Mixed optimal control for discrete-time stochastic systems with random coefficients ⋮ Constrained stochastic LQ control on infinite time horizon with regime switching
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