Stochastic Linear-Quadratic Control

[1]  M. Schweizer,et al.  Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales , 2012, 1211.6820.

[2]  Xun Yu Zhou,et al.  Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II , 2000, SIAM J. Control. Optim..

[3]  Xun Yu Zhou,et al.  Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach , 2000, SIAM J. Control. Optim..

[4]  B. Anderson,et al.  Optimal control: linear quadratic methods , 1990 .

[5]  W. Wonham.  On the Separation Theorem of Stochastic Control , 1968 .

[6]  Shige Peng,et al.  Open Problems on Backward Stochastic Differential Equations , 1998, Control of Distributed Parameter and Stochastic Systems.

[7]  A. Bensoussan.  Stochastic Control of Partially Observable Systems , 1992 .

[8]  J. Potter,et al.  A guidance-navigation separation theorem , 1964 .

[9]  Xun Yu Zhou,et al.  Control of Distributed Parameter and Stochastic Systems , 1999, IFIP Advances in Information and Communication Technology.

[10]  J. Bismut.  Linear Quadratic Optimal Stochastic Control with Random Coefficients , 1976 .

[11]  W. Wonham.  Optimal Stationary Control of a Linear System with State-Dependent Noise , 1967 .

[12]  W. Wonham.  On a Matrix Riccati Equation of Stochastic Control , 1968 .

[13]  J. Florentin.  Optimal Control of Continuous Time, Markov, Stochastic Systems† , 1961 .

[14]  B. Anderson,et al.  Linear Optimal Control , 1971 .

[15]  Michael Kohlmann,et al.  Minimization of Risk and Linear Quadratic Optimal Control Theory , 2003, SIAM J. Control. Optim..

[16]  E. Tse.  On the optimal control of stochastic linear systems , 1971 .

[17]  M. Schweizer.  Mean–Variance Hedging , 2010 .

[18]  Freddy Delbaen,et al.  Harmonic analysis of stochastic equations and backward stochastic differential equations , 2008, 0801.3505.

[19]  Shanjian Tang,et al.  Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging , 2002 .

[20]  Walter Schachermayer,et al.  Weighted Norm Inequalities and Closedness of a Space of Stochastic Integrals , 1994 .

[21]  W. Wonham.  Random differential equations in control theory , 1970 .

[22]  Huyên Pham,et al.  On quadratic hedging in continuous time , 2000, Math. Methods Oper. Res..

[23]  Martin Schweizer,et al.  Mean-variance hedging and stochastic control: beyond the Brownian setting , 2004, IEEE Transactions on Automatic Control.

[24]  A. T. Bharucha-Reid,et al.  Probabilistic methods in applied mathematics , 1968 .

[25]  Walter Schachermayer,et al.  Weighted norm inequalities and hedging in incomplete markets , 1997, Finance Stochastics.

[26]  M. A. Athans,et al.  The role and use of the stochastic linear-quadratic-Gaussian problem in control system design , 1971 .

[27]  Rama Cont.  Encyclopedia of quantitative finance , 2010 .

[28]  Shige Peng,et al.  Stochastic Hamilton-Jacobi-Bellman equations , 1992 .

[29]  Michael Kohlmann,et al.  Multidimensional Backward Stochastic Riccati Equations and Applications , 2002, SIAM J. Control. Optim..

[30]  Han-fu Chʿen.  Recursive estimation and control for stochastic systems , 1985 .

[31]  D. Duffie,et al.  Mean-variance hedging in continuous time , 1991 .

[32]  X. Zhou,et al.  Stochastic Controls: Hamiltonian Systems and HJB Equations , 1999 .

[33]  M. Schweizer.  Mean-Variance Hedging for General Claims , 1992 .

[34]  H. Pham,et al.  Mean‐Variance Hedging and Numéraire , 1998 .

[35]  Shanjian Tang,et al.  General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations , 2003, SIAM J. Control. Optim..