Stochastic linear-quadratic optimal control theory: open-loop and closed-loop solutions
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Publication:4967693
DOI10.1007/978-3-030-20922-3zbMATH Open1458.93005OpenAlexW3039880972MaRDI QIDQ4967693FDOQ4967693
Authors: Jingrui Sun, Jiongmin Yong 
Publication date: 3 July 2019
Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-20922-3
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Differential games and control (49N70) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
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- Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
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- Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
- Linear-quadratic stochastic Volterra controls. II: Optimal strategies and Riccati-Volterra equations
- Two-Person Zero-Sum Stochastic Linear-Quadratic Differential Games
- Conditions of optimality of quasiopen-loop strategies
- Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights
- Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
- Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games
- Linear quadratic leader-follower stochastic differential games: closed-loop solvability
- Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- On Optimal Linear Regulator with Polynomial Process of External Excitations
- Turnpike properties for stochastic linear-quadratic optimal control problems
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Linear-quadratic stochastic Volterra controls. I: Causal feedback strategies
- Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
- Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
- Long term average cost control problems without ergodicity
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- Linear-quadratic mean-field game for stochastic systems with partial observation
- Mathematical methods in robust control of linear stochastic systems
- Optimal policies in the class of infinitely differentiable functions for discounted linear-quadratic models
- Infinite horizon linear quadratic optimal control problems for singular Volterra integral equations
- Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients
- Turnpike properties for stochastic linear-quadratic optimal control problems with periodic coefficients
- Stochastic Linear-Quadratic Optimal Control with Partial Observation
- Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
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