Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type

Heping Ma; Bin Liu

doi:10.1002/asjc.1310

Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type

Asian Journal of Control ◽

10.1002/asjc.1310 ◽

2016 ◽

Vol 18 (6) ◽

pp. 2146-2157 ◽

Cited By ~ 8

Author(s):

Heping Ma ◽

Bin Liu

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Differential Equations ◽

Mean Field ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Partially Observed ◽

Quadratic Optimal Control

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A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon

Mathematical Control & Related Fields ◽

10.3934/mcrf.2015.5.97 ◽

2015 ◽

Vol 5 (1) ◽

pp. 97-139 ◽

Cited By ~ 40

Author(s):

Jianhui Huang ◽

◽

Xun Li ◽

Jiongmin Yong ◽

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Differential Equations ◽

Infinite Horizon ◽

Mean Field ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes

Journal of Systems Science and Complexity ◽

10.1007/s11424-009-9151-0 ◽

2009 ◽

Vol 22 (1) ◽

pp. 122-136 ◽

Cited By ~ 15

Author(s):

Huaibin Tang ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Differential Equations ◽

Lévy Processes ◽

Levy Processes ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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An Indefinite Stochastic Linear Quadratic Optimal Control Problem with Delay and Related Forward–Backward Stochastic Differential Equations

Journal of Optimization Theory and Applications ◽

10.1007/s10957-018-1237-1 ◽

2018 ◽

Vol 179 (2) ◽

pp. 722-744 ◽

Cited By ~ 2

Author(s):

Na Li ◽

Yuan Wang ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information

IEEE Transactions on Automatic Control ◽

10.1109/tac.2015.2411871 ◽

2015 ◽

Vol 60 (11) ◽

pp. 2904-2916 ◽

Cited By ~ 34

Author(s):

Guangchen Wang ◽

Zhen Wu ◽

Jie Xiong

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Differential Equations ◽

Partial Information ◽

Backward Stochastic Differential Equations ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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A linear–quadratic optimal control problem of stochastic differential equations with delay and partial information

Systems & Control Letters ◽

10.1016/j.sysconle.2021.105046 ◽

2021 ◽

Vol 157 ◽

pp. 105046

Author(s):

Shuaiqi Zhang ◽

Jie Xiong ◽

Jingtao Shi

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Differential Equations ◽

Partial Information ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control ◽

Equations With Delay

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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

SIAM Journal on Control and Optimization ◽

10.1137/120892477 ◽

2013 ◽

Vol 51 (4) ◽

pp. 2809-2838 ◽

Cited By ~ 129

Author(s):

Jiongmin Yong

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Optimal Control Problems ◽

Mean Field ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Legendre-Tau Approximation for Functional Differential Equations Part II: The Linear Quadratic Optimal Control Problem

SIAM Journal on Control and Optimization ◽

10.1137/0325076 ◽

1987 ◽

Vol 25 (6) ◽

pp. 1379-1408 ◽

Cited By ~ 7

Author(s):

Kazufumi Ito ◽

Russell Teglas

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Optimal Control Problem ◽

Control Problem ◽

Functional Differential Equations ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control ◽

Functional Differential

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A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application

International Journal of Control ◽

10.1080/00207179.2019.1588478 ◽

2019 ◽

Vol 94 (1) ◽

pp. 175-189 ◽

Cited By ~ 2

Author(s):

Xun Li ◽

Allen H. Tai ◽

Fei Tian

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Discrete Time ◽

Mean Field ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Financial Application ◽

Quadratic Optimal Control

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Discrete‐time mean‐field stochastic linear‐quadratic optimal control problem with finite horizon

Asian Journal of Control ◽

10.1002/asjc.2306 ◽

2020 ◽

Cited By ~ 1

Author(s):

Teng Song ◽

Bin Liu

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Discrete Time ◽

Mean Field ◽

Finite Horizon ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations

Applied Mathematics & Optimization ◽

10.1007/s00245-017-9464-7 ◽

2017 ◽

Vol 80 (1) ◽

pp. 223-250 ◽

Cited By ~ 8

Author(s):

Xun Li ◽

Jingrui Sun ◽

Jie Xiong

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Optimal Control Problems ◽

Mean Field ◽

Backward Stochastic Differential Equations ◽

Control Problems ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Quadratic Optimal Control

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