Stochastic linear-quadratic optimal control problems - Recent developments

被引：0

作者：

Sun, Jingrui ^{[1
,2
]}

Yong, Jiongmin ^{[3
]}

机构：

[1] Southern Univ Sci & Technol, Dept Math, Shenzhen Key Lab Safety & Secur Next Generat Ind I, Shenzhen 518055, Guangdong, Peoples R China

[2] Southern Univ Sci & Technol, SUSTech Int Ctr Math, Shenzhen 518055, Guangdong, Peoples R China

[3] Univ Cent Florida, Dept Math, Orlando, FL 32816 USA

来源：

ANNUAL REVIEWS IN CONTROL | 2023年 / 56卷

关键词：

Linear-quadratic; Optimal control; Open-loop solvability; Closed-loop solvability; Forward-backward stochastic differential; equation; Differential Riccati equation; Algebraic Riccati equation; SUM DIFFERENTIAL-GAMES; OPEN-LOOP; RANDOM-COEFFICIENTS; EQUATIONS;

D O I：

10.1016/j.arcontrol.2023.100899

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we present a brief survey for some recent developments of stochastic linear-quadratic optimal controls. We mainly concentrate on the results obtained by the authors and their collaborators in the last decay.

引用

页数：11

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