Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise

DOI10.1109/TAC.2018.2831641zbMATH Open1482.93715DBLPjournals/tac/WuGLS19OpenAlexW2799898095WikidataQ57445391 ScholiaQ57445391MaRDI QIDQ5223703FDOQ5223703

Y. Shi, Duan Li, J. J. Gao, Wei-Ping Wu

Publication date: 18 July 2019

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2018.2831641

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

Cited In (4)

• On continuous-time constrained stochastic linear-quadratic control
• The impact of general correlation under multi-period mean-variance asset-liability portfolio management
• Triangulations of \(3\)-manifolds with essential edges
• Survey on multi-period mean-variance portfolio selection model

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