A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
DOI10.1080/07362990802286533zbMATH Open1151.93035OpenAlexW1965475757MaRDI QIDQ3548433FDOQ3548433
Authors: Jiongmin Yong 
Publication date: 12 December 2008
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990802286533
forward-backward stochastic differential equationsgeneralized expectationstochastic linear quadratic optimal control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
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Cited In (8)
- On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
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- Mean-variance portfolio selection under no-shorting rules: a BSDE approach
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- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- Maximum principle for differential games of forward-backward stochastic systems with applications
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
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