Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint

Peter Bank; Moritz Voß

doi:10.1137/16m1104597

Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint

SIAM Journal on Control and Optimization ◽

10.1137/16m1104597 ◽

2018 ◽

Vol 56 (2) ◽

pp. 672-699 ◽

Cited By ~ 10

Author(s):

Peter Bank ◽

Moritz Voß

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Stochastic Control Problems

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/140956051 ◽

2015 ◽

Vol 53 (6) ◽

pp. 3673-3689 ◽

Cited By ~ 10

Author(s):

Kai Du

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Optimal Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Solvability Conditions ◽

Stochastic Control Problems

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Continuous Viscosity Solutions to Linear-Quadratic Stochastic Control Problems with Singular Terminal State Constraint

Applied Mathematics & Optimization ◽

10.1007/s00245-020-09673-4 ◽

2020 ◽

Cited By ~ 1

Author(s):

Ulrich Horst ◽

Xiaonyu Xia

Keyword(s):

Stochastic Control ◽

Viscosity Solutions ◽

State Constraint ◽

Terminal State ◽

Control Problems ◽

Linear Quadratic ◽

Stochastic Control Problems ◽

Terminal State Constraint

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On Decentralized Multicriteria Linear-Quadratic Stochastic Control Problems

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)64804-3 ◽

1980 ◽

Vol 13 (6) ◽

pp. 239-246

Author(s):

K. Uchida ◽

E. Shimemura

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Stochastic Control Problems

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General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/s0363012901387550 ◽

2003 ◽

Vol 42 (1) ◽

pp. 53-75 ◽

Cited By ~ 71

Author(s):

Shanjian Tang

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Random Coefficients ◽

Optimal Stochastic Control ◽

General Linear ◽

Control Problems ◽

Linear Quadratic ◽

Stochastic Control Problems

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A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems

Journal of Optimization Theory and Applications ◽

10.1007/s10957-018-01453-z ◽

2018 ◽

Vol 181 (2) ◽

pp. 347-382 ◽

Cited By ~ 4

Author(s):

Matteo Basei ◽

Huyên Pham

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Martingale Approach ◽

Stochastic Control Problems

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Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Cited By ~ 4

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

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On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

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The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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A Numerical Method for Solving Singular Stochastic Control Problems

Operations Research ◽

10.1287/opre.1030.0107 ◽

2004 ◽

Vol 52 (4) ◽

pp. 563-582 ◽

Cited By ~ 33

Author(s):

Sunil Kumar ◽

Kumar Muthuraman

Keyword(s):

Numerical Method ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Individual and mass behavior in large population forward–backward stochastic control problems: Centralized and Nash equilibrium solutions

Optimal Control Applications and Methods ◽

10.1002/oca.2727 ◽

2021 ◽

Author(s):

Shujun Wang ◽

Hua Xiao

Keyword(s):

Nash Equilibrium ◽

Stochastic Control ◽

Large Population ◽

Control Problems ◽

Equilibrium Solutions ◽

Stochastic Control Problems ◽

Mass Behavior ◽

Nash Equilibrium Solutions

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