Linear Quadratic Optimal Stochastic Control with Random Coefficients

DOI10.1137/0314028MaRDI QIDQ4096849zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Michel Bismut

Publication date 1976

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0314028

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Cited in

(only showing first 100 items - show all)

• Stochastic singular optimal control problem of switching systems with constraints
• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
• L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients
• Notes on backward stochastic differential equations for computing XVA
• A concise introduction to control theory for stochastic partial differential equations
• Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
• Stochastic LQ control and associated Riccati equation of PDEs driven by state- and control-dependent white noise
• A parametric optimization approach for uncertain linear quadratic models
• Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
• Stochastic linear quadratic control problem of switching systems with constraints
• \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
• Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model
• Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
• Stochastic minimum-energy control
• LQ control of Itô stochastic system with asymmetric information
• On continuous-time constrained stochastic linear-quadratic control
• Complexity reduction of large-scale stochastic systems using linear quadratic Gaussian balancing
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
• On discrete-time Riccati-like matrix difference equations with random coefficients
• Mixed optimal control for discrete-time stochastic systems with random coefficients
• Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
• Mean-variance portfolio selection of cointegrated assets
• New results on stochastic systems excited by white noise powers
• The piecewise parametric optimal control of uncertain linear quadratic models
• Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
• Stability properties of systems of linear stochastic differential equations with random coefficients
• Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
• Optical projection equations for reduced-order modelling, estimation, and control of linear systems with multiplicative white noise
• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• Delayed optimal control of stochastic LQ problem
• Near-maximum principle for general recursive utility optimal control problem
• Linear-quadratic optimal control under non-Markovian switching
• Backward stochastic partial differential equations with quadratic growth
• Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
• Backward stochastic differential equations with unbounded generators
• Mean-field type quadratic BSDEs
• Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
• On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
• Irregular LQG optimal control problem involving multiplicative noise
• Asymmetric information control for stochastic systems with different intermittent observations
• A perturbation analysis of stochastic matrix Riccati diffusions
• Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
• Hurwicz model of uncertain linear quadratic optimal control with jump
• A general optimality conditions for stochastic control problems of jump diffusions
• Multi-dimensional optimal trade execution under stochastic resilience
• Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
• A stochastic linear-quadratic problem with Lévy processes and its application to finance
• Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
• Optimal regulators for a class of nonlinear stochastic systems
• A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric
• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
• Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion
• Constrained stochastic LQ control on infinite time horizon with regime switching
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Linear-quadratic optimal control problems of state delay systems under full and partial information
• Limit theorems for BSDE with local time applications to non-linear PDE
• Uncertain optimal control of linear quadratic models with jump
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
• Standard solution to mixed \(H_2/H_\infty\) control with regular Riccati equation
• A linear quadratic model based on multistage uncertain random systems
• Maximum principle for optimal control of neutral stochastic functional differential systems
• Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients
• The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
• On the convergence of the Sakawa-Shindo algorithm in stochastic control
• On the stability of matrix-valued Riccati diffusions
• Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
• A study of backward stochastic differential equation on a Riemannian manifold
• Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
• Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
• Newton method for stochastic control problems
• Stochastic maximum principle for nonlinear optimal control problem of switching systems
• Linear quadratic stochastic control problems with stochastic terminal constraint
• The maximum principle for the nonlinear stochastic optimal control problem of switching systems
• Stochastic problems of absolute stability
• Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
• A class of discrete time generalized Riccati equations
• Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
• Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients
• Optimal control and stabilization for Itô systems with input delay
• Stochastic maximum principle for square-integrable optimal control of linear stochastic systems
• An FBSDE approach to market impact games with stochastic parameters
• Optimal stochastic regulators with state-dependent weights
• Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
• Continuous-time mean-variance portfolio selection with random horizon
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• Reflected quadratic BSDEs driven by \(G\)-Brownian motions
• Stochastic stability of a class of nonlinear differential equations of Ito type
• Indefinite linear quadratic optimal control problem for uncertain random discrete-time systems
• Sequential convex programming for non-linear stochastic optimal control
• Backward stochastic differential equations and applications to optimal control
• Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
• Solution to stochastic LQR problem with multiple inputs
• The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth
• On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems

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