DOI10.1137/15M103532XzbMath1347.49033arXiv1508.02163OpenAlexW2963197062MaRDI QIDQ2820185
Jingrui Sun, Xun Li, Jiong-min Yong
Publication date: 14 September 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.02163
On the closed loop Nash equilibrium strategy for a class of sampled data stochastic linear quadratic differential games,
LQ control of Itô stochastic system with asymmetric information,
Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games,
Social optima in mean field linear-quadratic-Gaussian models with control input constraint,
Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability,
Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control,
Backward-forward linear-quadratic mean-field Stackelberg games,
Forward-Backward Stochastic Differential Equations and Linear-Quadratic Generalized Stackelberg Games,
Optimal control of stochastic singular affine systems with Markovian jumps,
A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems,
A general linear quadratic stochastic control and information value,
Stochastic linear quadratic optimal control problems in infinite horizon,
The irregular linear quadratic control problem for deterministic case with time delay,
Robust Mean Field Linear Quadratic Social Control: Open-Loop and Closed-Loop Strategies,
A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information,
Robust time-inconsistent stochastic linear-quadratic control with drift disturbance,
Delayed Optimal Control of Stochastic LQ Problem,
State feedback control for stochastic regular linear quadratic tracking problem with input time delay,
A stochastic goodwill model depending on quality level and advertising,
\( L^p\) estimations of fully coupled FBSDEs,
Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients,
Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions,
An addendum to the problem of zero-sum LQ stochastic mean-field dynamic games,
Decentralized strategies for finite population linear-quadratic-Gaussian games and teams,
Linear quadratic optimal control for time-delay stochastic system with partial information,
Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems,
Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs,
Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps,
Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators,
A class of optimal control problems of forward-backward systems with input constraint,
Renegotiation and dynamic inconsistency: contracting with non-exponential discounting,
Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance,
Linear-quadratic-Gaussian mean-field controls of social optima,
Time-Inconsistent Recursive Stochastic Optimal Control Problems,
Irregular LQG optimal control problem involving multiplicative noise,
Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states,
Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations,
Linear quadratic mean-field game with volatility uncertainty,
Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions,
Linear-quadratic mean field stochastic zero-sum differential games,
Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients,
Linear-quadratic stochastic two-person nonzero-sum differential games: open-loop and closed-loop Nash equilibria,
Weak closed-loop solvability of stochastic linear-quadratic optimal control problems,
Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems,
Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents,
A general stochastic maximum principle for mean-field controls with regime switching,
Mixed linear quadratic stochastic differential leader-follower game with input constraint,
Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls,
Equilibrium controls in time inconsistent stochastic linear quadratic problems,
Mean field linear-quadratic control: uniform stabilization and social optimality,
Linear quadratic optimal control problems with fixed terminal states and integral quadratic constraints,
Mean-field linear-quadratic stochastic differential games,
Necessary conditions in stochastic linear quadratic problems and their applications,
Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system,
Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability,
Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights,
Robust state-dependent mean-variance portfolio selection: a closed-loop approach,
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system,
Mean-field linear-quadratic stochastic differential games in an infinite horizon,
Controllability of Stochastic Game-Based Control Systems,
Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions,
Linear quadratic optimal control problems for mean-field backward stochastic differential equations,
$L^p$-theory of forward-backward stochastic differential equations,
Two-Person Zero-Sum Stochastic Linear-Quadratic Differential Games,
Uncertain pursuit-evasion game,
Robust linear quadratic mean field social control: A direct approach,
Linear-quadratic optimal control for backward stochastic differential equations with random coefficients,
The difference and unity of irregular LQ control and standard LQ control and its solution,
Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system,
Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty,
Optimal control for controllable stochastic linear systems,
Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations,
Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds,
Stochastic optimal control -- a concise introduction,
Linear quadratic mean field social control with common noise: a directly decoupling method,
Discounted cost linear quadratic Gaussian control for descriptor systems,
Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models,
Turnpike properties for stochastic linear-quadratic optimal control problems