Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon

DOI10.1007/s00245-019-09576-zzbMath1461.93550OpenAlexW2943451194WikidataQ127973557 ScholiaQ127973557MaRDI QIDQ2020318

Qi Zhang, Jiangyan Pu

Publication date: 23 April 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-019-09576-z

zbMATH Keywords

random coefficientsinfinite time horizonpension fundstochastic Riccati equationstochastic LQ control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Actuarial mathematics (91G05)

Related Items (6)

FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Infinite horizon Stackelberg differential games with random coefficients under control input constraint ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients ⋮ Mixed optimal control for discrete-time stochastic systems with random coefficients ⋮ Constrained stochastic LQ control on infinite time horizon with regime switching

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