EDP Sciences logo
Subscriber Authentication Point
Search
Menu
All issues Volume 27 (2021) ESAIM: COCV, 27 (2021) 46 References
Free Access
Issue
ESAIM: COCV
Volume 27, 2021
Article Number 46
Number of page(s) 27
DOI https://doi.org/10.1051/cocv/2021049
Published online 26 May 2021
  1. M. Ait Rami, J.B. Moore and X.Y. Zhou, Indefinite stochastic linear quadratic control and generalized differential Riccati equation. SIAM J. Control Optim. 40 (2001) 1296–1311. [CrossRef] [Google Scholar]
  2. X. Bi, J. Sun and J. Xiong, Optimal control for controllable stochastic linear systems. ESAIM: COCV 26 (2020) 98. [EDP Sciences] [Google Scholar]
  3. J.M. Bismut, Linear quadratic optimal stochastic control with random coefficients. SIAM J. Control Optim. 14 (1976) 419–444. [Google Scholar]
  4. S. Chen, X. Li and X.Y. Zhou, Stochastic linear quadratic regulators with indefinite control weight costs. SIAM J. Control Optim. 36 (1998) 1685–1702. [CrossRef] [MathSciNet] [Google Scholar]
  5. S. Chen and J. Yong, Stochastic linear quadratic optimal control problems. Appl. Math. Optim. 43 (2001) 21–45. [Google Scholar]
  6. S. Chen and X.Y. Zhou, Stochastic linear quadratic regulators with indefinite control weight costs. II. SIAM J. Control Optim. 39 (2000) 1065–1081. [CrossRef] [MathSciNet] [Google Scholar]
  7. K. Du, J. Huang and Z. Wu, Linear quadratic mean-field-game of backward stochastic differential systems. Math. Control Relat. Fields 8 (2018) 653–678. [CrossRef] [Google Scholar]
  8. J. Huang, S. Wang and Z. Wu, Backward mean-field linear-quadratic-Gaussian (LQG) games: full and partial information. IEEE Trans. Automat. Control 61 (2016) 3784–3796. [CrossRef] [Google Scholar]
  9. M. Kohlmann and S. Tang, Multidimensional backward stochastic Riccati equations and applications. SIAM J. Control Optim. 41 (2003) 1696–1721. [CrossRef] [Google Scholar]
  10. X. Li, J. Sun and J. Xiong, Linear quadratic optimal control problems for mean-field backward stochastic differential equations. Appl. Math. Optim. 80 (2019) 223–250. [Google Scholar]
  11. A.E.B. Lim, Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market. Math. Oper. Res. 29 (2004) 132–161. [CrossRef] [MathSciNet] [Google Scholar]
  12. A.E.B. Lim and X.Y. Zhou, Linear-quadratic control of backward stochastic differential equations. SIAM J. Control Optim. 40 (2001) 450–474. [Google Scholar]
  13. J. Ma and J. Yong, Forward-Backward Stochastic Differential Equations and Their Applications. Vol. 1702 of Lecture Notes Math. Springer-Verlag, Berlin (1999). [Google Scholar]
  14. S. Peng, Open problems on backward stochastic differential equations, in Control of Distributed Parameter and Stochastic Systems. edited by S. Chen, X. Li, J. Yong and X.Y. Zhou. Springer, Boston, MA (1999) 265–273. [CrossRef] [Google Scholar]
  15. N. EL Karoui, S. Peng and M.C. Quenez, Backward stochastic differential equations in finance. Math. Finance 7 (1997) 1–71. [CrossRef] [MathSciNet] [Google Scholar]
  16. J. Sun, X. Li and J. Yong, Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems. SIAM J. Control Optim. 54 (2016) 2274–2308. [Google Scholar]
  17. J. Sun, J. Xiong and J. Yong, Stochastic linear-quadratic optimal control problems with random coefficients: Closed-loop representation of open-loop optimal controls. Ann. Appl. Probab. 31 (2021) 460–499. [Google Scholar]
  18. J. Sun and J. Yong, Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions. Springer Briefs in Mathematics (2020). [CrossRef] [Google Scholar]
  19. S. Tang, General linear quadratic optimal stochastic control problems with random coefficients: linear stochastic Hamilton systems and backward stochastic Riccati equations. SIAM J. Control Optim. 42 (2003) 53–75. [Google Scholar]
  20. S. Tang, Dynamic programming for general linear quadratic optimal stochastic control with random coefficients. SIAM J. Control Optim. 53 (2015) 1082–1106. [CrossRef] [Google Scholar]
  21. H. Wang, J. Sun and J. Yong, Weak closed-loop solvability of stochastic linear-quadratic optimal control problems. Discete Contin. Dyn. Syst. 39 (2019) 2785–2805. [CrossRef] [Google Scholar]
  22. G. Wang, H. Xiao and J. Xiong, A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information. Automatica 97 (2018) 346–352. [CrossRef] [Google Scholar]
  23. W.M. Wonham, On a matrix Riccati equation of stochastic control. SIAM J. Control 6 (1968) 681–697. [CrossRef] [Google Scholar]
  24. J. Yong, A leader-follower stochastic linear quadratic differential game. SIAM J. Control Optim. 41 (2002) 1015–1041. [Google Scholar]
  25. J. Yong and X.Y. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations. Springer-Verlag, New York (1999). [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.