Stochastic linear-quadratic optimal control theory: differential games and mean-field problems
DOI10.1007/978-3-030-48306-7zbMATH Open1455.93004OpenAlexW3040080951MaRDI QIDQ5114464FDOQ5114464
Authors: Jingrui Sun, Jiongmin Yong 
Publication date: 23 June 2020
Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-48306-7
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Differential games and control (49N70) Differential games (aspects of game theory) (91A23) 2-person games (91A05) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)
Cited In (18)
- Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
- Linear quadratic differential games with cheap control
- Two-Person Zero-Sum Stochastic Linear-Quadratic Differential Games
- A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls
- Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games
- Stochastic linear quadratic differential games in a state feedback setting with sampled measurements
- Causal state feedback representation for linear quadratic optimal control problems of singular Volterra integral equations
- Stochastic optimal control to a nonlinear differential game
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
- Present-biased lobbyists in linear-quadratic stochastic differential games
- Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
- Discrete-time indefinite linear-quadratic mean field games and control: the finite-population case
- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
- Optimal control and zero-sum stochastic differential game problems of mean-field type
- Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients
- Mean-field linear-quadratic stochastic differential games
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