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Stochastic linear-quadratic optimal control problems - Recent developments
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DOI：10.1016/j.arcontrol.2023.100899.png)
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Abstract
En 中文
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.
Keywords:
Linear-quadratic
Optimal control
Open-loop solvability
Closed-loop solvability
Forward-backward stochastic differential
equation
Differential Riccati equation
Algebraic Riccati equation
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