Necessary conditions in stochastic linear quadratic problems and their applications

DOI10.1016/J.JMAA.2018.09.013zbMath1401.49031OpenAlexW2890603992MaRDI QIDQ1798994

Tian Xiao Wang

Publication date: 18 October 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.09.013

zbMATH Keywords

variational approachstochastic linear quadratic problemsclosed-loop optimal strategiesopen-loop optimal controls

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

Related Items (6)

Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients ⋮ Spike Variations for Stochastic Volterra Integral Equations ⋮ Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems ⋮ Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system ⋮ Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions ⋮ Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations

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