Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
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Cites work
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- Adapted solution of a backward stochastic differential equation
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- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- scientific article; zbMATH DE number 3606350 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- 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 optimal control problems
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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Cited in
(30)- A new approach to lineary perturbed Riccati equations arising in stochastic control
- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
- Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
- \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- A nonhomogeneous mean-field linear-quadratic optimal control problem and application
- A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-field type
- Solution to a class of stochastic LQ problems with bounded control
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- Computational method for solving a stochastic linear-quadratic control problem given an unsolvable stochastic algebraic Riccati equation
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
- Indefinite Stochastic Riccati Equations
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
- Optimistic value model of indefinite LQ optimal control for discrete-time uncertain systems
- Equivalent cost functionals and stochastic linear quadratic optimal control problems
- Infinite horizon forward-backward SDEs and open-loop optimal controls for stochastic linear-quadratic problems with random coefficients
- Dynamic optimization problems for mean-field stochastic large-population systems
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
- An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach
- Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
- Solvability of indefinite stochastic LQ optimal control problems for jump diffusion models
- Advanced control strategies for stochastic systems using PDF optimisation
- A Hilbert space method to LQ optimal control of conditional McKean-Vlasov dynamics
- Linear quadratic optimal control problems for conditional mean-field stochastic differential equations under partial information
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