Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
From MaRDI portal
Publication:2454166
Recommendations
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
Cites work
- scientific article; zbMATH DE number 3606350 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- Adapted solution of a backward stochastic differential equation
- Equivalent cost functionals and stochastic linear quadratic optimal control problems
- Existence of solutions to a class of indefinite stochastic Riccati equations
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Indefinite Stochastic Riccati Equations
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- On a Matrix Riccati Equation of Stochastic Control
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Stochastic linear quadratic optimal control problems
- Stochastic linear quadratic regulators with indefinite control weight costs. II
Cited in
(26)- \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
- 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
- A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-field type
- Computational method for solving a stochastic linear-quadratic control problem given an unsolvable stochastic algebraic Riccati equation
- 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
This page was built for publication: Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2454166)
