The delayed doubly stochastic linear quadratic optimal control problem

DOI10.1155/2020/2759580zbMATH Open1459.93189OpenAlexW3033710899MaRDI QIDQ778655FDOQ778655

Authors: Yan Chen, Jie Xu 

Publication date: 3 July 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/2759580

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

Cites Work

• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Anticipated backward stochastic differential equations
• Maximum principle for backward doubly stochastic control systems with applications
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• Maximum principle for the stochastic optimal control problem with delay and application
• Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
• Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
• Anticipated backward doubly stochastic differential equations
• Forward-backward linear quadratic stochastic optimal control problem with delay
• A type of general forward-backward stochastic differential equations and applications
• Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls
• Valuing equity-linked death benefits in general exponential Lévy models
• Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
• Partially observed optimal controls of forward-backward doubly stochastic systems
• Optimal Control of Backward Doubly Stochastic Systems With Partial Information
• Stochastic maximum principle for delayed backward doubly stochastic control systems
• Stochastic maximum principle for delayed doubly stochastic control systems and their applications
• Optimal control problem of backward stochastic differential delay equation under partial information

Cited In (5)

• Delayed optimal control of stochastic LQ problem
• Forward-backward linear quadratic stochastic optimal control problem with delay
• Linear quadratic optimal control problems of delayed backward stochastic differential equations
• Degenerate linear-quadratic optimization with time delay
• Delayed stochastic linear-quadratic control problem and related applications

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