General linear forward and backward stochastic difference equations with applications

DOI10.1016/j.automatica.2018.06.031zbMath1406.93387OpenAlexW2811285628MaRDI QIDQ1716436

Juanjuan Xu, Xie, Lihua, Huan-Shui Zhang

Publication date: 5 February 2019

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2018.06.031

zbMATH Keywords

stochastic optimal controlRiccati equationforward and backward stochastic difference equations

Mathematics Subject Classification ID

Control/observation systems governed by functional-differential equations (93C23) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic difference equations (39A50)

Related Items (6)

Solution to the forward and backward stochastic difference equations with asymmetric information and application ⋮ Exact controllability of forward and backward stochastic difference system ⋮ Incentive feedback Stackelberg strategy for the discrete-time stochastic systems ⋮ Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type ⋮ LQ control of forward and backward stochastic difference system

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