A direct approach to linear-quadratic stochastic control

DOI10.7494/OPMATH.2017.37.6.821MaRDI QIDQ4554795zbMATH OpenFDO

Authors T. E. Duncan, B. Pasik-Duncan

Publication date 9 November 2018

Published in Opuscula Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7494/OPMATH.2017.37.6.821

zbMATH Keywords

linear-quadratic Gaussian controlRiccati equation for optimizationstochastic control

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Fractional processes, including fractional Brownian motion (60G22) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3601149 (Why is no real title available?)
• scientific article; zbMATH DE number 3279763 (Why is no real title available?)
• Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions
• Models and methods in economics and management science. Essays in honor of Charles S. Tapiero

Cited in

(9)

• Stochastic quasilinear viscoelastic wave equation with nonlinear damping and source terms
• Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries
• The quasi-boundary value regularization method for identifying the initial value with discrete random noise
• Indefinite mean-field type linear-quadratic stochastic optimal control problems
• A direct method for solving stochastic control problems
• Stochastic linear-quadratic control revisited
• An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• Encounters with Martingales in Stochastic Control

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