Stochastic linear quadratic optimal control problems with random coefficients

DOI10.1142/S0252959900000339zbMath0990.93133OpenAlexW2261883883MaRDI QIDQ1586099

Jiong-min Yong, Shu-ping Chen

Publication date: 12 March 2001

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0252959900000339

zbMATH Keywords

Malliavin calculusrandom coefficientscontraction mapping theoremstochastic Riccati equationstochastic linear quadratic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

Linear forward-backward stochastic differential equations with random coefficients ⋮ Stochastic \(H_2/H_\infty\) control with random coefficients ⋮ Weak closed-loop solvability of stochastic linear-quadratic optimal control problems ⋮ Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls ⋮ Mean-variance portfolio selection of cointegrated assets ⋮ Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability ⋮ Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

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