Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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Publication:4210184
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Cited in
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- Multiperiod mean-variance optimization with intertemporal restrictions
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- A singular linear quadratic time-inconsistent optimal control problem
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
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- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
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- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- Discrete-time indefinite stochastic LQ control via SDP and LMI methods
- Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
- Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Multiple-objective risk-sensitive control and its small noise limit
- Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
- Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Stochastic linear quadratic optimal control problems with random coefficients
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
- The stochastic linear quadratic control problem with singular estimates
- Existence, uniqueness, and stability of uncertain delay differential equations with \(V\)-jump
- Statistically consistent inverse optimal control for discrete-time indefinite linear-quadratic systems
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
- Linear quadratic control problems of stochastic Volterra integral equations
- Linear quadratic optimal regulation for multiplicative noise systems with special terminal penalty
- A multiagent transfer function neuroapproach to solve fuzzy Riccati differential equations
- Stochastic linear quadratic control problem on time scales
- Delayed optimal control of stochastic LQ problem
- Indefinite stochastic optimal LQR control with cross term under IQ constraints.
- A numerical procedure to compute the stabilising solution of game theoretic Riccati equations of stochastic control
- Generalized Riccati equations arising in stochastic games
- Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
- Maximum principle for forward-backward doubly stochastic control systems and applications
- Optimal bounded noisy feedback control for damping random vibrations
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
- Discrete-time indefinite mean field linear quadratic games with multiplicative noise
- Indefinite LQ optimal control for stochastic Takagi-Sugeno fuzzy system under sensor data scheduling: finite-horizon case
- Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
- Discrete time LQG controls with control dependent noise
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- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
- An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
- Optimal Linear-Quadratic Regulator for a Stochastic System under Mutually Inverse Time Preferences in the Cost
- Irregular LQG optimal control problem involving multiplicative noise
- On a class of rational matrix differential equations arising in stochastic control.
- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
- Stabilization and destabilization of hybrid systems of stochastic differential equations
- Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
- Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems
- Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
- A nonhomogeneous mean-field linear-quadratic optimal control problem and application
- Hurwicz model of uncertain linear quadratic optimal control with jump
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- Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
- Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
- Indefinite linear quadratic optimal control problem for singular discrete-time system with multiple input delays
- A stochastic linear-quadratic problem with Lévy processes and its application to finance
- Necessary and sufficient conditions for optimal stabilization of quasi-linear stochastic systems
- The Regular Free-Endpoint Linear Quadratic Problem with Indefinite Cost
- Indefinite stochastic LQ control with cross term via semidefinite programming
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Optimal regulators for a class of nonlinear stochastic systems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Further results on global adaptive stabilisation for a class of uncertain stochastic nonlinear systems
- Constrained stochastic LQ control on infinite time horizon with regime switching
- Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
- The difference and unity of irregular LQ control and standard LQ control and its solution
- Linear-quadratic optimal control problems of state delay systems under full and partial information
- Mean-variance portfolio selection under no-shorting rules: a BSDE approach
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- An extension of the algebraic Riccati equation for the stationary control problem without stabilizability condition
- Uncertain optimal control of linear quadratic models with jump
- Gradient dynamic optimization with Legendre chaos
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
- Dynamic optimization problems for mean-field stochastic large-population systems
- A mixed linear quadratic optimal control problem with a controlled time horizon
- Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
- Maximum principle for controlled fractional Fokker-Planck equations
- Stochastic affine quadratic regulator with applications to tracking control of quantum systems
- Stochastic linear quadratic optimal control problems in infinite horizon
- A linear quadratic model based on multistage uncertain random systems
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Note on free endpoint stochastic optimal regulator
- Pareto optimal strategy for linear stochastic systems with \(H_\infty\) constraint in finite horizon
- Bounds on mean variance hedging in jump diffusion
- An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem
- Solving quantum stochastic LQR optimal control problem in Fock space and its application in finance
- Stochastic linear quadratic optimal control problems
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- On stochastic Riccati equations for the stochastic LQR problem
- Stochastic maximum principle for hybrid optimal control problems under partial observation
- Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
- Stochastic problems of absolute stability
- Stabilization control for Itô stochastic system with indefinite state and control weight costs
- Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
- A Q-Learning Algorithm for Discrete-Time Linear-Quadratic Control with Random Parameters of Unknown Distribution: Convergence and Stabilization
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