Stochastic LQ control with extra measurability restriction

DOI10.1007/s11424-024-2501-0zbMath1544.93854MaRDI QIDQ6595008

Lianfeng Song, Hong-Xia Wang, Yuxi Hu, Zixing Li

Publication date: 29 August 2024

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

zbMATH Keywords

optimal controlstochastic maximum principlestochastic systemsmultiplicative noise systems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10)

Cites Work

• Unnamed Item
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Some thoughts on rational expectations models, and alternate formulations
• Discrete-time indefinite LQ control with state and control dependent noises
• Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise
• Optimal output tracking control and stabilization of networked control systems with packet losses
• Linear Quadratic Regulation and Stabilization of Discrete-Time Systems With Delay and Multiplicative Noise
• The Solution of Linear Difference Models under Rational Expectations
• Optimal Decentralized Control With Asymmetric One-Step Delayed Information Sharing
• Linear quadratic regulation for discrete‐time systems with multiplicative noise and multiple input delays
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• On a Matrix Riccati Equation of Stochastic Control
• Decentralized LQG Control With $d$-Step Delayed Information Sharing Pattern

This page was built for publication: Stochastic LQ control with extra measurability restriction