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.
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页数：11
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