Indefinite Stochastic Riccati Equations

DOI10.1137/S0363012901391330zbMATH Open1039.60058OpenAlexW1974162151MaRDI QIDQ4442976FDOQ4442976

Authors: Ying Hu, Xun Yu Zhou 

Publication date: 8 January 2004

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

Full work available at URL: https://doi.org/10.1137/s0363012901391330

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zbMATH Keywords

backward stochastic differential equationstochastic Riccati equationstochastic linear-quadratic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cited In (35)

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• The Mean-Variance Hedging of a Defaultable Option with Partial Information
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• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Existence of solutions to a class of indefinite stochastic Riccati equations
• Stochastic maximum principle in the mean-field controls
• A mixed linear quadratic optimal control problem with a controlled time horizon
• Stochastic linear quadratic optimal control problems in infinite horizon
• On the stability of matrix-valued Riccati diffusions
• Linear quadratic nonzero-sum mean-field stochastic differential games with regime switching
• Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
• Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
• Stochastic \(H_2/H_\infty\) control with random coefficients
• Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
• Optimal stochastic regulators with state-dependent weights
• 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
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
• Change of filtrations and mean–variance hedging
• Stochastic linear-quadratic control with a jump and regime switching on a random horizon
• Optimal regulator for a class of nonlinear stochastic systems with random coefficients
• Linear forward-backward stochastic differential equations with random coefficients
• On the stochastic linear quadratic optimal control problem by piecewise constant controls: the infinite horizon time case
• Necessary conditions in stochastic linear quadratic problems and their applications
• On one-dimensional Riccati diffusions

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