Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients

DOI10.1137/20M1360517zbMath1467.93340MaRDI QIDQ5000639

Qingmeng Wei, Zhi-Yong Yu

Publication date: 15 July 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

infinite horizonstochastic optimal controlstochastic LQ problemcoupled FBSDEdomination-monotonicity condition

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 (3)

FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon

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