Linear Quadratic Optimal Stochastic Control with Random Coefficients

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)

Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
A parametric optimization approach for uncertain linear quadratic models
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
Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
Stochastic minimum-energy control
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
On discrete-time Riccati-like matrix difference equations with random coefficients
Mean-variance portfolio selection of cointegrated assets
Stability properties of systems of linear stochastic differential equations with random coefficients
Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
Delayed optimal control of stochastic LQ problem
Optical projection equations for reduced-order modelling, estimation, and control of linear systems with multiplicative white noise
Harmonic analysis of stochastic equations and backward stochastic differential equations
Linear-quadratic optimal control under non-Markovian switching
Mean-field type quadratic BSDEs
Backward stochastic partial differential equations with quadratic growth
Backward stochastic differential equations with unbounded generators
Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
A perturbation analysis of stochastic matrix Riccati diffusions
Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
A general optimality conditions for stochastic control problems of jump diffusions
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
Constrained stochastic LQ control on infinite time horizon with regime switching
Limit theorems for BSDE with local time applications to non-linear PDE
Uncertain optimal control of linear quadratic models with jump
Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
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
On the stability of matrix-valued Riccati diffusions
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
Newton method for stochastic control problems
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
Linear quadratic stochastic control problems with stochastic terminal constraint
Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
Stochastic maximum principle for nonlinear optimal control problem of switching systems
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
The maximum principle for the nonlinear stochastic optimal control problem of switching systems
Stochastic problems of absolute stability
A class of discrete time generalized Riccati equations
Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients
Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
Continuous-time mean-variance portfolio selection with random horizon
Indefinite linear quadratic optimal control problem for uncertain random discrete-time systems
Reflected quadratic BSDEs driven by \(G\)-Brownian motions
Stochastic stability of a class of nonlinear differential equations of Ito type
Sequential convex programming for non-linear stochastic optimal control
Backward stochastic differential equations and applications to optimal control
Characterization of optimal feedback for stochastic linear quadratic control problems
General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
Sensitivity results in stochastic optimal control: a Lagrangian perspective
Linear forward-backward stochastic differential equations with random coefficients
A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
Linear quadratic mean field Stackelberg differential games
Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise
Constrained stochastic LQ control with regime switching and application to portfolio selection
Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
Linear stochastic degenerate Sobolev equations and applications^†
Optimality conditions of controlled backward doubly stochastic differential equations
On one-dimensional Riccati diffusions
L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients
Stochastic LQ control and associated Riccati equation of PDEs driven by state- and control-dependent white noise
A concise introduction to control theory for stochastic partial differential equations
Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
Complexity reduction of large-scale stochastic systems using linear quadratic Gaussian balancing
Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model
LQ control of Itô stochastic system with asymmetric information
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
On continuous-time constrained stochastic linear-quadratic control
Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
Mixed optimal control for discrete-time stochastic systems with random coefficients
New results on stochastic systems excited by white noise powers
The piecewise parametric optimal control of uncertain linear quadratic models
Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
Near-maximum principle for general recursive utility optimal control problem
Irregular LQG optimal control problem involving multiplicative noise
Asymmetric information control for stochastic systems with different intermittent observations
Hurwicz model of uncertain linear quadratic optimal control with jump
Multi-dimensional optimal trade execution under stochastic resilience
Optimal regulators for a class of nonlinear stochastic systems
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
On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric
Linear-quadratic optimal control problems of state delay systems under full and partial information
A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
Standard solution to mixed \(H_2/H_\infty\) control with regular Riccati equation
Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states

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