Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information

DOI10.1016/j.automatica.2020.109169zbMath1448.93348OpenAlexW3048060871MaRDI QIDQ2003808

Guangchen Wang, Zhen Wu, Na Li

Publication date: 5 October 2020

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2020.109169

zbMATH Keywords

time-delayoptimal filteringrecursive utilityforward-backward stochastic differential equationLQ optimal control

Mathematics Subject Classification ID

Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic functional-differential equations (34K50) Delay control/observation systems (93C43)

Related Items (9)

A stochastic maximum principle for partially observed stochastic control systems with delay ⋮ Equilibrium pairs trading under delayed cointegration ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Linear-quadratic optimal control problems of state delay systems under full and partial information ⋮ Linear quadratic optimal control problems of delayed backward stochastic differential equations ⋮ Explicit solution to forward and backward stochastic differential equations with state delay and its application to optimal control ⋮ Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation ⋮ LQ control of forward and backward stochastic difference system ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays

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