Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
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Publication:2454166
DOI10.1016/J.SYSCONLE.2014.03.009zbMATH Open1288.93093OpenAlexW2143861554MaRDI QIDQ2454166FDOQ2454166
Authors: Jianhui Huang, Zhiyong Yu 
Publication date: 13 June 2014
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2014.03.009
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stochastic Riccati equationbackward stochastic differential equation (BSDE)stochastic linear quadratic optimal control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
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- Stochastic linear quadratic regulators with indefinite control weight costs. II
- Stochastic linear quadratic optimal control problems
- Equivalent cost functionals and stochastic linear quadratic optimal control problems
Cited In (26)
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- On an infinite dimensional perturbed Riccati differential equation arising in stochastic control
- A new approach to lineary perturbed Riccati equations arising in stochastic control
- Infinite horizon forward-backward SDEs and open-loop optimal controls for stochastic linear-quadratic problems with random coefficients
- Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
- A nonhomogeneous mean-field linear-quadratic optimal control problem and application
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
- Dynamic optimization problems for mean-field stochastic large-population systems
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Solution to a class of stochastic LQ problems with bounded control
- Computational method for solving a stochastic linear-quadratic control problem given an unsolvable stochastic algebraic Riccati equation
- A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-field type
- Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
- Optimistic value model of indefinite LQ optimal control for discrete-time uncertain systems
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
- Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
- Indefinite Stochastic Riccati Equations
- Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
- Equivalent cost functionals and stochastic linear quadratic optimal control problems
- An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
- \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
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