Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

By Shuping Chen, Xun Yu Zhou. SIAM Journal of Control and Optimization, 2000

354 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/e586fd6be7d1a652772685ab4697b855f0a6c2a8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Xun Yu Zhou
2. George Yin
3. Duan Li
4. Mustapha Ait Rami
5. Wu Zhen
6. Weihai Zhang
7. Shuping Chen
8. Shanjian Tang

In Finance

1. Xun Yu Zhou
2. George Yin
3. Xun Li
4. Duan Li
5. Shanjian Tang
6. Michael Kohlmann
7. Andrew E. B. Lim
8. Wu Zhen

Citations in the corpus

• FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS, LINEAR QUADRATIC STOCHASTIC OPTIMAL CONTROL AND NONZERO SUM DIFFERENTIAL GAMES (2005, background): “This kind of Riccati equation is novel and different from that in [6] and [7].”
• Infinite horizon linear quadratic optimal control for discrete‐time stochastic systems (2008, background): “In particular, different from deterministic LQ problem, even for indefinite state and control weighting matrices Q and R, the stochastic LQ optimal control may be still well posed, which was first found in [6], and has inspired a series of work; see [7, 8] and the references therein.”
• Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging (2002, background): “Several recent papers are devoted to the stochastic LQ problem, among which we cite Chen and Zhou (2000), Chen and Yong (2001a, b, c) for the reader’s convenience.”
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls (2000, background): “For a detailed discussion, explanation, and many examples, see [ 8 ].”
• Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000, methodology): “While a detailed discussion on this point can be found in [ 3 ], one may also look at the stochastic Riccati equation (4.3) to get some rough idea as to why R may be allowed to be indefinite (or zero in particular).”
• Stochastic Linear Quadratic Optimal Control Problems (2001, background): “RC D T P.t/D > 0; t2 [?;T ]: (5.3) The following result can be found in [ 8 ].”
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003, methodology): “Using the recently developed stochastic linear-quadratic (LQ) control framework [4, 5, 29], Zhou and Li [31] studied the mean-variance problem for a continuous-time model from another angel.”
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2001, background): “, [2, 3, 21, 34]), and this in turn provides a powerful tool for solving some finance problems that are linear-quadratic in nature [19, 22, 37].”