A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
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Publication:2059484
DOI10.1016/J.SYSCONLE.2021.105046zbMATH Open1480.93454OpenAlexW3209650872WikidataQ115340929 ScholiaQ115340929MaRDI QIDQ2059484FDOQ2059484
Authors: Shuaiqi Zhang, Jie Xiong, Jingtao Shi 
Publication date: 14 December 2021
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2021.105046
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partial informationstochastic maximum principlelinear-quadratic controlstochastic differential equation with delay
Stochastic functional-differential equations (34K50) Linear-quadratic optimal control problems (49N10) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20)
Cites Work
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- Maximum principle for the stochastic optimal control problem with delay and application
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- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- A stochastic maximum principle for partially observed stochastic control systems with delay
- A global maximum principle for stochastic optimal control problems with delay and applications
- Maximum principle for partially-observed optimal control problems of stochastic delay systems
- Partially observed linear quadratic control problem with delay via backward separation method
Cited In (22)
- A stochastic maximum principle for partially observed stochastic control systems with delay
- Linear-quadratic delayed mean-field social optimization
- Tracking control of nonlinear systems actuated by saturated oscillatory force generator
- A backward stochastic delayed control problem with partial information
- Stochastic linear-quadratic control problems with affine constraints
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
- Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
- Linear-quadratic optimal control problems of state delay systems under full and partial information
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Forward-backward linear quadratic stochastic optimal control problem with delay
- Linear quadratic optimal control problems of delayed backward stochastic differential equations
- Title not available (Why is that?)
- Linear quadratic control of backward stochastic differential equation with partial information
- Linear quadratic optimal control for time-delay stochastic system with partial information
- Optimal control problem of backward stochastic differential delay equation under partial information
- Optimal control problem for risk-sensitive Mean-field stochastic delay differential equation with partial information
- Delayed stochastic linear-quadratic control problem and related applications
- Rational expectations: an approach of anticipated linear-quadratic social optima
- Stochastic Linear-Quadratic Optimal Control with Partial Observation
- Stochastic control with delayed information and related nonlinear master equation
- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
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