Stochastic LQ control with extra measurability restriction

DOI10.1007/S11424-024-2501-0MaRDI QIDQ6595008zbMATH OpenFDO

Authors Hongxia Wang, Yuxi Hu, Zixing Li, Lianfeng Song

Publication date 29 August 2024

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11424-024-2501-0

zbMATH Keywords

multiplicative noise systemsoptimal controlstochastic maximum principlestochastic systems

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cites work

• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Decentralized LQG Control With d-Step Delayed Information Sharing Pattern
• Discrete-time indefinite LQ control with state and control dependent noises
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Linear Quadratic Regulation and Stabilization of Discrete-Time Systems With Delay and Multiplicative Noise
• Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise
• Linear quadratic regulation for discrete‐time systems with multiplicative noise and multiple input delays
• On a Matrix Riccati Equation of Stochastic Control
• Optimal Decentralized Control With Asymmetric One-Step Delayed Information Sharing
• Optimal output tracking control and stabilization of networked control systems with packet losses
• Some thoughts on rational expectations models, and alternate formulations
• The Solution of Linear Difference Models under Rational Expectations

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