The optimal feedback control of linear stochastic systems and the solutions of quasi-Riccati equations
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Publication:3072877
zbMATH Open1224.93138MaRDI QIDQ3072877FDOQ3072877
Publication date: 5 February 2011
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stochastic optimal controlforward-backward stochastic equationnon-quadratic performancequasi-Riccati equation
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- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Optimal regulators for a class of nonlinear stochastic systems
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- Feedback optimal controllers for the Heston model
- Comparison of the bounded and unbounded feedback controls for the stochastic linear-quadratic problem
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- Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
- Characterization of optimal feedback for stochastic linear quadratic control problems
- Optimal control problem of stochastic systems
- Application of stochastic linear quadratic optimal control in portfolio selection problem
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