Stochastic linear quadratic optimal control problem: from discrete to continuous time

DOI10.16205/J.CNKI.CAMA.2018.0035MaRDI QIDQ5383661zbMATH OpenFDO

Authors Ye Wang

Publication date 21 June 2019

Full work available at URL https://doi.org/10.16205/J.CNKI.CAMA.2018.0035

zbMATH Keywords

indefinite stochastic LQ controlnumerical methodRiccati equationstochastic linear quadratic (LQ) optimal control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Discrete approximations in optimal control (49M25) Linear optimal control problems (49N05)

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Cited in

(13)

• Logarithmic transformations for discrete-time, finite-horizon stochastic control problems
• Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints
• On the stochastic linear quadratic control problem with piecewise constant admissible controls
• Discrete time mean-field stochastic linear-quadratic optimal control problems
• A linear-quadratric control problem with discretionary stopping
• Stochastic linear quadratic control problem on time scales
• Linear quadratic optimal control: From determininstic to stochastic cases
• Stochastic linear quadratic optimal control for continuous-time systems based on policy iteration
• A new proof of the discrete-time LQG optimal control theorems
• Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs
• Discrete approximations for strict convex continuous time problems and duality
• A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application
• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems

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