Stochastic linear-quadratic optimal control without time-consistency requirement

DOI10.4310/CIS.2015.V15.N4.A5MaRDI QIDQ314547zbMATH OpenOpenAlexFDO

Authors Yuan-Hua Ni, Jifeng Zhang

Publication date 16 September 2016

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/cis.2015.v15.n4.a5

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cited in

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• Time-inconsistent stochastic linear-quadratic control

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