Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/140956051
Reference16 articles.
1. Linear Quadratic Optimal Stochastic Control with Random Coefficients
2. An Introductory Approach to Duality in Optimal Stochastic Control
3. Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
4. Backward Stochastic Differential Equations in Finance
Cited by 15 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Optimal Financial Benchmark Tracking in a Market with Unbounded Random Coefficients;2023 9th International Conference on Control, Decision and Information Technologies (CoDIT);2023-07-03
2. Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems;ESAIM: Control, Optimisation and Calculus of Variations;2023
3. A linear quadratic tracking problem for impulsive controlled stochastic systems: The infinite horizon time case;Mathematical Methods in the Applied Sciences;2022-11-25
4. Constrained stochastic LQ control with regime switching and application to portfolio selection;The Annals of Applied Probability;2022-02-01
5. Stochastic optimal control with random coefficients and associated stochastic Hamilton–Jacobi–Bellman equations;Advances in Continuous and Discrete Models;2022-01-14
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3