Linear - quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system
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Cites work
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Backward-forward stochastic differential equations
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Hedging options for a large investor and forward-backward SDE's
- Linear-quadratic control of backward stochastic differential equations
- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal contracts in continuous-time models
- Solution of forward-backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic Differential Utility
Cited in
(39)- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- Composite control of linear quadratic games in delta domain with disturbance observers
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information
- Linear quadratic nonzero sum differential games with asymmetric information
- A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
- Backward linear-quadratic stochastic optimal control and nonzero-sum differential game problem with random jumps
- Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
- Mixed linear quadratic stochastic differential leader-follower game with input constraint
- Backward-forward linear-quadratic mean-field games with major and minor agents
- The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
- Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance
- Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
- Backward stochastic \(H_{2}/H_{\infty}\) control with random jumps
- Non-zero sum differential games of backward stochastic differential delay equations under partial information
- Stochastic optimal control to a nonlinear differential game
- Finite-time stability and stabilization of linear Itô stochastic systems with state and control-dependent noise
- Design of a new linear quadratic stochastic optimal controller
- scientific article; zbMATH DE number 3954689 (Why is no real title available?)
- Nonzero sum linear–quadratic stochastic differential games and backward–forward equations
- Forward-backward linear quadratic stochastic optimal control problem with delay
- Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games
- Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise
- Controllability of stochastic game-based control systems
- Optimal control of nonzero sum game mean‐field delayed Markov regime‐switching forward‐backward system with Lévy processes
- Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
- A type of general forward-backward stochastic differential equations and applications
- LQ control of forward and backward stochastic difference system
- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- Forward-backward doubly stochastic differential equations with random jumps and related games
- Distributed Nash equilibrium seeking for noncooperative games in nonlinear multi-agent systems: an event-triggered neuro-adaptive approach
- Data-driven policy iteration algorithm for continuous-time stochastic linear-quadratic optimal control problems
- Stochastic maximum principle for fully coupled nonlinear FBSEs under generalized monotonicity and LQ control applications
- Stochastic linear-quadratic differential game with regime-switching in an infinite horizon
- Linear-convex partially observed optimal control problem with Markov chain and input constraint
- Decentralized control of forward and backward stochastic difference system with nested asymmetric information
- Optimal control of a class of fully coupled forward-backward stochastic partial differential equations
- Leader-follower stochastic differential game with asymmetric information and applications
- Linear quadratic nonzero-sum differential games with random jumps
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