Linear-quadratic optimal control for backward stochastic differential equations with random coefficients

DOI10.1051/cocv/2021049zbMath1467.93337arXiv1912.12439OpenAlexW3158664135WikidataQ115334423 ScholiaQ115334423MaRDI QIDQ4999541

Jingrui Sun, Hanxiao Wang

Publication date: 7 July 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.12439

zbMATH Keywords

linear-quadratic optimal controlbackward stochastic differential equationstochastic Riccati equationrandom coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (6)

Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games ⋮ Controllability of a Stokes system with a diffusive boundary condition ⋮ Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems ⋮ Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps ⋮ Mean-field linear-quadratic stochastic differential games ⋮ General indefinite backward stochastic linear-quadratic optimal control problems

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