Optimality conditions in linear quadratic problems with random coefficients and applications

DOI10.16205/J.CNKI.CAMA.2021.0026MaRDI QIDQ5868988zbMATH OpenFDO

Authors Tianxiao Wang

Publication date 27 September 2022

Full work available at URL https://doi.org/10.16205/J.CNKI.CAMA.2021.0026

zbMATH Keywords

backward stochastic Riccati equationsclosed-loop optimal strategynecessary optimality conditionsstochastic linear quadratic problems

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(3)

• Random linear-quadratic mathematical models: Computing explicit solutions and applications
• New Analysis on Sparse Solutions to Random Standard Quadratic Optimization Problems and Extensions
• Sums of random symmetric matrices and quadratic optimization under orthogonality constraints

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