The delayed doubly stochastic linear quadratic optimal control problem

DOI10.1155/2020/2759580MaRDI QIDQ778655zbMATH OpenOpenAlexFDO

Authors Yan Chen, Jie Xu

Publication date 3 July 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) 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)

Review text

Summary: In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. It deduces the expression of the optimal control for the general delayed doubly stochastic control system which contained time delay both in the state variable and in the control variable at the same time and proves its uniqueness by using the classical parallelogram rule. The paper is concerned with the generalized matrix value Riccati equation for a special delayed doubly stochastic linear quadratic control system and aims to give the expression of optimal control and value function by the solution of the Riccati equation.

Recommendations

• Stochastic maximum principle for delayed doubly stochastic control systems and their applications
• Delayed stochastic linear-quadratic control problem and related applications
• Forward-backward linear quadratic stochastic optimal control problem with delay
• Stochastic maximum principle for delayed backward doubly stochastic control systems
• Delayed optimal control of stochastic LQ problem

Cites work

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

Cited in

(5)

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

This page was built for publication: The delayed doubly stochastic linear quadratic optimal control problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q778655)