南方科技大学知识苑(SUSTech KC): Stochastic linear-quadratic optimal control problems

Title	Stochastic linear-quadratic optimal control problems — Recent developments
Author	Sun，Jingrui1 ; Yong，Jiongmin 2
Corresponding Author	Sun，Jingrui
Publication Years	2023
DOI	10.1016/j.arcontrol.2023.100899
Source Title	Annual Reviews in Control Impact Factor & Quartile
ISSN	1367-5788
EISSN	1872-9088
Volume	56
Abstract	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	Algebraic Riccati equation Closed-loop solvability Differential Riccati equation Forward–backward stochastic differential equation Linear-quadratic Open-loop solvability Optimal control
URL	[Source Record]
Indexed By	SCI
Language	English
SUSTech Authorship	First ; Corresponding
Funding Project	National Natural Science Foundation of China[12271242];Basic and Applied Basic Research Foundation of Guangdong Province[2021A1515010031];
WOS Research Area	Automation & Control Systems
WOS Subject	Automation & Control Systems
WOS Accession No	WOS:001056507900001
Publisher	PERGAMON-ELSEVIER SCIENCE LTD
ESI Research Field	ENGINEERING
Scopus EID	2-s2.0-85164710564
Data Source	Scopus
Citation statistics	Cited Times [WOS]:0
Document Type	Journal Article
Identifier	http://kc.sustech.edu.cn/handle/2SGJ60CL/560230
Department	Department of Mathematics 深圳国际数学中心（杰曼诺夫数学中心）（筹）
Affiliation	1.Shenzhen Key Laboratory of Safety and Security for Next Generation of Industrial Internet,Department of Mathematics,and SUSTech International Center for Mathematics,Southern University of Science and Technology,Shenzhen,Guangdong,518055,China 2.Department of Mathematics,University of Central Florida,Orlando,32816,United States
First Author Affilication	Department of Mathematics; SUSTech International Center for Mathematics
Corresponding Author Affilication	Department of Mathematics; SUSTech International Center for Mathematics
First Author's First Affilication	Department of Mathematics; SUSTech International Center for Mathematics
Recommended Citation GB/T 7714	Sun，Jingrui,Yong，Jiongmin. Stochastic linear-quadratic optimal control problems — Recent developments[J]. Annual Reviews in Control,2023,56.
APA	Sun，Jingrui,&Yong，Jiongmin.(2023).Stochastic linear-quadratic optimal control problems — Recent developments.Annual Reviews in Control,56.
MLA	Sun，Jingrui,et al."Stochastic linear-quadratic optimal control problems — Recent developments".Annual Reviews in Control 56(2023).

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Stochastic linear-quadratic optimal control problems — Recent developments