This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of stochastic linear systems is studied. Then the optimal control is explicitly obtained by considering a parameterized unconstrained backward LQ problem and an optimal parameter selection problem. A notable feature of our results is that, instead of solving an equation involving derivatives with respect to the parameter, the optimal parameter is characterized by a matrix equation
This paper is concerned with a stochastic linear-quadratic (LQ) control problem in the infinite time...
This paper studies the indefinite stochastic LQ control problem with quadratic and mixed terminal st...
AbstractWe consider a nonlinear controlled stochastic evolution equation in a Hilbert space, with a ...
AbstractThis paper considers a nonlinear stochastic control problem where the system dynamics is a c...
An optimal control problem is considered for linear stochastic differential equations with quadratic...
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control ...
An optimal control problem is studied for a linear mean-field stochastic differential equation with ...
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic d...
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward...
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic d...
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of M...
This paper firstly presents necessary and sufficient conditions for the solvability of discrete time...
This paper is concerned with a stochastic linear quadratic (LQ) optimal control problem. The notions...
Abstract This paper is concerned with an optimal control problem for a linear stochastic differentia...
In this paper we extend the work presented in our previous papers (2001) where we considered optimal...
This paper is concerned with a stochastic linear-quadratic (LQ) control problem in the infinite time...
This paper studies the indefinite stochastic LQ control problem with quadratic and mixed terminal st...
AbstractWe consider a nonlinear controlled stochastic evolution equation in a Hilbert space, with a ...
AbstractThis paper considers a nonlinear stochastic control problem where the system dynamics is a c...
An optimal control problem is considered for linear stochastic differential equations with quadratic...
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control ...
An optimal control problem is studied for a linear mean-field stochastic differential equation with ...
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic d...
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward...
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic d...
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of M...
This paper firstly presents necessary and sufficient conditions for the solvability of discrete time...
This paper is concerned with a stochastic linear quadratic (LQ) optimal control problem. The notions...
Abstract This paper is concerned with an optimal control problem for a linear stochastic differentia...
In this paper we extend the work presented in our previous papers (2001) where we considered optimal...
This paper is concerned with a stochastic linear-quadratic (LQ) control problem in the infinite time...
This paper studies the indefinite stochastic LQ control problem with quadratic and mixed terminal st...
AbstractWe consider a nonlinear controlled stochastic evolution equation in a Hilbert space, with a ...