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Backward Stochastic Riccati Equations and Infinite Horizon L-Q Optimal Control with Infinite Dimensional State Space and Random Coefficients
12 references·1 citing·34 second hop
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References

  • 1976Linear Quadratic Optimal Stochastic Control with Random Coefficients338 cited
  • 1992Stochastic Hamilton–Jacobi–Bellman Equations307 cited
  • 2003General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations172 cited
  • 2000Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach167 cited
  • 2002Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging84 cited
  • 2003Multidimensional Backward Stochastic Riccati Equations and Applications81 cited
  • 2004BSDE s with a random terminal time driven by a monotone generator and their links with PDE s65 cited
  • 1999Open Problems on Backward Stochastic Differential Equations53 cited
  • 2005On the Backward Stochastic Riccati Equation in Infinite Dimensions48 cited
  • 1981Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients34 cited
  • 1999Stationary backward stochastic differential equations and associated partial differential equations30 cited
  • 2001New Developments in Backward Stochastic Riccati Equations and Their Applications24 cited

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  • 2021Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients

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19 cited