| 1 |
Constrained Stochastic LQ Optimal Control Problem with Random Coefficients on Infinite Time Horizon
Pu JY, Zhang Q
Applied Mathematics and Optimization, 83(2), 1005, 2021 |
| 2 |
BACKWARD STOCHASTIC RICCATI EQUATION WITH JUMPS ASSOCIATED WITH STOCHASTIC LINEAR QUADRATIC OPTIMAL CONTROL WITH JUMPS AND RANDOM COEFFICIENTS
Zhang F, Dong YC, Meng QX
SIAM Journal on Control and Optimization, 58(1), 393, 2020 |
| 3 |
SOLVABILITY CONDITIONS FOR INDEFINITE LINEAR QUADRATIC OPTIMAL STOCHASTIC CONTROL PROBLEMS AND ASSOCIATED STOCHASTIC RICCATI EQUATIONS
Du K
SIAM Journal on Control and Optimization, 53(6), 3673, 2015 |
| 4 |
EXISTENCE OF SOLUTIONS TO A CLASS OF INDEFINITE STOCHASTIC RICCATI EQUATIONS
Qian ZM, Zhou XY
SIAM Journal on Control and Optimization, 51(1), 221, 2013 |
| 5 |
Detectability and observability of discrete-time stochastic systems and their applications
Li ZY, Wang Y, Zhou B, Duan GR
Automatica, 45(5), 1340, 2009 |
| 6 |
INFINITE HORIZON AND ERGODIC OPTIMAL QUADRATIC CONTROL FOR AN AFFINE EQUATION WITH STOCHASTIC COEFFICIENTS
Guatteri G, Masiero F
SIAM Journal on Control and Optimization, 48(3), 1600, 2009 |
| 7 |
Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients
Guatteri G, Tessitore G
Applied Mathematics and Optimization, 57(2), 207, 2008 |
| 8 |
Constrained stochastic LQ control with random coefficients, and application to portfolio selection
Hu Y, Zhou XY
SIAM Journal on Control and Optimization, 44(2), 444, 2005 |
| 9 |
Indefinite stochastic Riccati equations
Hu Y, Zhou XY
SIAM Journal on Control and Optimization, 42(1), 123, 2003 |
| 10 |
Minimization of risk and linear quadratic optimal control theory
Kohlmann M, Tang SJ
SIAM Journal on Control and Optimization, 42(3), 1118, 2003 |
