[图书][B] Stochastic calculus for fractional Brownian motion and applications
Fractional Brownian motion (fBm) has been widely used to model a number of phenomena
in diverse fields from biology to finance. This huge range of potential applications makes …
in diverse fields from biology to finance. This huge range of potential applications makes …
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
This paper is concerned with a stochastic linear quadratic (LQ) optimal control problem. The
notions of open-loop and closed-loop solvabilities are introduced. A simple example shows …
notions of open-loop and closed-loop solvabilities are introduced. A simple example shows …
Linear–quadratic uncertain differential game with application to resource extraction problem
Uncertain differential game investigates interactive decision making of players over time,
and the system dynamics is described by an uncertain differential equation. This paper goes …
and the system dynamics is described by an uncertain differential equation. This paper goes …
[图书][B] Stochastic H2/H∞ control: A Nash game approach
The H∞ control has been one of the important robust control approaches since the 1980s.
This book extends the area to nonlinear stochastic H2/H∞ control, and studies more …
This book extends the area to nonlinear stochastic H2/H∞ control, and studies more …
[图书][B] Stochastic linear-quadratic optimal control theory: Open-loop and closed-loop solutions
J Sun, J Yong - 2020 - books.google.com
This book gathers the most essential results, including recent ones, on linear-quadratic
optimal control problems, which represent an important aspect of stochastic control. It …
optimal control problems, which represent an important aspect of stochastic control. It …
Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
The optimal control problem in a finite time horizon with an indefinite quadratic cost function
for a linear system subject to multiplicative noise on both the state and control can be solved …
for a linear system subject to multiplicative noise on both the state and control can be solved …
Control for Itô stochastic systems with input delay
H Zhang, J Xu - IEEE Transactions on Automatic Control, 2016 - ieeexplore.ieee.org
This paper examines the long-standing problem of linear quadratic regulation and
stabilization for Itô stochastic systems with input delay. This problem remains a primary …
stabilization for Itô stochastic systems with input delay. This problem remains a primary …
Linear quadratic stochastic differential games: open-loop and closed-loop saddle points
J Sun, J Yong - SIAM Journal on Control and Optimization, 2014 - SIAM
In this paper, we consider a linear quadratic stochastic two-person zero-sum differential
game. The controls for both players are allowed to appear in both drift and diffusion of the …
game. The controls for both players are allowed to appear in both drift and diffusion of the …
Indefinite mean-field stochastic cooperative linear-quadratic dynamic difference game with its application to the network security model
W Zhang, C Peng - IEEE Transactions on Cybernetics, 2021 - ieeexplore.ieee.org
In this article, we show how to obtain all of the Pareto optimal decision vectors and solutions
for the finite horizon indefinite mean-field stochastic cooperative linear-quadratic (LQ) …
for the finite horizon indefinite mean-field stochastic cooperative linear-quadratic (LQ) …
A mean field game approach for a class of linear quadratic discrete choice problems with congestion avoidance
This paper approaches large multi-agent dynamic discrete choice problems, such as those
arising in crowd evacuation or micro-robotic-based exploration of unknown terrain, via a …
arising in crowd evacuation or micro-robotic-based exploration of unknown terrain, via a …