The Partial Controllability of Linear Stochastic Control Systems with Terminal Constraints and Its Applications to Game-Based Control Systems with Jumps

DOI10.1137/22M1537114MaRDI QIDQ6140993zbMATH OpenOpenAlexFDO

Authors Yuanzhuo Song

Publication date 2 January 2024

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22m1537114

zbMATH Keywords

forward-backward stochastic differential equationgame-based control system with jumpsNash equilibriumpartial controllabilityterminal constraints

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Controllability (93B05) Optimal stochastic control (93E20)

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Cites work

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• On the partial controllability of SDEs and the exact controllability of FBSDEs
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Cited in

(2)

• Constrained stochastic linear quadratic control under regime switching with controlled jump size
• Adaptive non-cooperative differential games with a regulator

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