Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System-Reference-Cited by-同舟云学术

Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System

Published:2023-04-28 Issue:2 Volume:61 Page:949-979
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Wen Jiaqiang¹^ORCID,Li Xun²,Xiong Jie¹,Zhang Xin³^ORCID

Affiliation:

1. Department of Mathematics and SUSTech International Center for Mathematics, Southern University of Science and Technology, Shenzhen, Guangdong, 518055, China.

2. Department of Applied Mathematics, Hong Kong Polytechnic University, Hong Kong, China.

3. Corresponding author. School of Mathematics, Southeast University, Nanjing, Jiangsu Province, 211189, China.

Funder

National Key Research and Development Program of China

National Natural Science Foundation of China

Guangdong Basic and Applied Basic Research Foundation

Research Grants Council, University Grants Committee

CAS AMSS-PolyU Joint Laboratory of Applied Mathematics

Southern University of Science and Technology

Fundamental Research Funds for the Central Universities

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Reference27 articles.

1. Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

2. Linear Quadratic Optimal Stochastic Control with Random Coefficients

3. Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

4. Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints

5. Matrix Analysis

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