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Stochastic Analysis and Applications Volume 26, 2008 - Issue 6
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Original Articles

A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation

Jiongmin Yong Department of Mathematics, University of Central Florida, Orlando, Florida, USACorrespondence[email protected]
Pages 1136-1160 | Received 25 Feb 2008, Accepted 03 Mar 2008, Published online: 29 Oct 2008

Citations (8)

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Jingtao Shi & Zhen Wu. (2012) Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance. Stochastic Analysis and Applications 30:6, pages 997-1018.
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Articles from other publishers (7)

Liangquan Zhang & Xun Li. (2023) Mean–variance portfolio selection under no-shorting rules: A BSDE approach. Systems & Control Letters 177, pages 105545.
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Wei Zhang & Liangquan Zhang. (2021) A BSDE approach to stochastic linear quadratic control problem. Optimal Control Applications and Methods 42:4, pages 1206-1224.
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Na Li & Zhiyong Yu. (2015) Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps. Advances in Difference Equations 2015:1.
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Shi Jingtao. (2015) Relationship between MP and DPP for stochastic differential games with g-expectation. Relationship between MP and DPP for stochastic differential games with g-expectation.
Eddie C.M. Hui & Hua Xiao. (2012) Maximum principle for differential games of forward–backward stochastic systems with applications. Journal of Mathematical Analysis and Applications 386:1, pages 412-427.
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Zhaojing Wu, Mingyue Cui & Peng Shi. (2012) Backstepping Control in Vector Form for Stochastic Hamiltonian Systems. SIAM Journal on Control and Optimization 50:2, pages 925-942.
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Jiongmin Yong. (2010) Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions. SIAM Journal on Control and Optimization 48:6, pages 4119-4156.
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