Stochastic linear-quadratic optimal control theory: differential games and mean-field problems

DOI10.1007/978-3-030-48306-7MaRDI QIDQ5114464zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

differential gamesRiccati equationclosed-loop Nash equilibriastochastic optimal control theory

Mathematics Subject Classification ID

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)

Recommendations

• Stochastic linear-quadratic optimal control theory: open-loop and closed-loop solutions
• Stochastic optimal control -- a concise introduction
• Mathematical control theory for stochastic partial differential equations
• Stochastic control and mathematical modeling. Applications in economics.
• Stochastic differential inclusions and applications.

Cited in

(25)

• Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games
• 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
• Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
• 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
• Discrete-time indefinite linear-quadratic mean field games and control: the finite-population case
• Mathematical control theory for stochastic partial differential equations
• Stochastic linear quadratic differential games in a state feedback setting with sampled measurements
• Optimal control and zero-sum stochastic differential game problems of mean-field type
• Stochastic teams, games, and control under information constraints
• Modern trends in controlled stochastic processes: theory and applications, V.III. Selected papers based on the presentations at the traditional Liverpool workshop on controlled stochastic processes, Liverpool, UK, July 2021
• Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
• Non-cooperative stochastic differential game theory of generalized linear Markov jump systems
• Essays on Pareto optimality in cooperative games
• On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
• Stochastic optimal control to a nonlinear differential game
• Linear quadratic differential games with cheap control
• Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
• Optimal control of dynamic systems driven by vector measures. Theory and applications
• Mean-field linear-quadratic stochastic differential games
• Causal state feedback representation for linear quadratic optimal control problems of singular Volterra integral equations
• Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients
• Linear-quadratic controls in risk-averse decision making. Performance-measure statistics and control decision optimization.
• Present-biased lobbyists in linear-quadratic stochastic differential games

This page was built for publication: Stochastic linear-quadratic optimal control theory: differential games and mean-field problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5114464)