Stochastic Linear Quadratic Optimal Control Problems

By Shuping Chen, J. Yong. 2001

110 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f74b18e00e4631853ee4374f9834018ff82482c5

How researchers see this paper

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

In Demography

1. Jiongmin Yong
2. Jingrui Sun
3. Michael Kohlmann
4. Shanjian Tang

In Finance

1. Jingrui Sun
2. Jiongmin Yong
3. Michael Kohlmann
4. Shanjian Tang
5. P. J. Graber
6. Huyen Pham
7. Xunjing Li
8. Jianfeng Zhang

In Management Science and Operations Research

1. Jingrui Sun
2. Jiongmin Yong
3. Michael Kohlmann
4. Shanjian Tang

Citations in the corpus

• Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging (2002, methodology): “Later, Kohlmann and Tang (2001) used a natural LQ theory approach to solve a special case of random market conditions: the market conditions are only allowed to involve a smaller Jltration {F2 t ; 06 t6T}, and that case excludes the quadratic growth of the drift of the associated BSRDE in the second”
• Stochastic Linear Quadratic Optimal Control Problems in Infinite Horizon (2016, background): “Since then, extensive research efforts have been devoted to the indefinite LQ problems and to the solvability of indefinite Riccati equations (see, for examples, [1,7,8,10,14,16]).”