Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs

DOI10.1186/s41546-018-0035-xzbMath1432.93381arXiv1708.06547OpenAlexW2963456123WikidataQ128636530 ScholiaQ128636530MaRDI QIDQ2296121

Shanjian Tang, Ying Hu

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.06547

zbMATH Keywords

infinite-horizonmixed deterministic and random controldifferential/algebraic Riccati equationsingular LQstochastic LQ

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (8)

A kind of non-zero sum mixed differential game of backward stochastic differential equation ⋮ A general linear quadratic stochastic control and information value ⋮ Convergence rate of Peng's law of large numbers under sublinear expectations ⋮ NOTE ON STRONG LAW OF LARGE NUMBER UNDER SUB-LINEAR EXPECTATION ⋮ Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients ⋮ Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty ⋮ Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control ⋮ Mixed optimal control for discrete-time stochastic systems with random coefficients

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