线性二次随机优化及相关问题

11471192
2014
A0601.控制中的数学方法
于志勇
面上项目
教授
山东大学
68万元
随机最优控制与对策;线性二次优化问题;正倒向随机微分方程;Riccati方程;最优投资消费策略
2015-01-01到2018-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Maximum principle for nonzero-sum stochastic differential game with delays 期刊论文 Li Chen;Zhiyong Yu
2 An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the riccati equation approach 期刊论文 Zhiyong Yu
3 An indefinite stochastic linear quadratic optimal control problem for the FBSDE system with jumps 会议论文 Li Na;Wu Zhen;Yu Zhiyong
4 Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems 期刊论文 Zhiyong Yu
5 Maximum principle for near-optimality of stochastic delay control problem 期刊论文 Feng Zhang
6 Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations 期刊论文 Na Li;Zhen Wu;Zhiyong Yu
7 Continuous-time mean-variance portfolio selection with random horizon in an incomplete market 期刊论文 Lv Siyu;Wu Zhen;Yu Zhiyong
8 Time-inconsistent recursive stochastic optimal control problems 期刊论文 Qingmeng Wei;Jiongmin Yong;Zhiyong Yu
9 Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg games 期刊论文 Na Li;Zhiyong Yu
10 Exact controllability of linear stochastic differential equations and related problems 期刊论文 Wang Yanqing;Yang Donghui;Yong Jiongmin;Yu Zhiyong
11 Time-inconsistent recursive zero-sum stochastic differential games 期刊论文 Qingmeng Wei;Zhiyong Yu
12 一类状态受限的随机延迟最优控制问题的最大值原理 期刊论文 张峰
13 Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps 期刊论文 Na Li;Zhiyong Yu
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