Cover Image

Matrix Riccati BSDEs with singular terminal condition and stochastic LQ control with linear terminal constraint

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Ackermann, Julia, Kruse, Thomas, Petrov, Petr, Popier, Alexandre
Format:	Preprint
Published:	2026
Subjects:	Optimization and Control Probability
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Time discretization of BSDEs with singular terminal condition using asymptotic expansion
by: Kruse, Thomas, et al.
Published: (2026)

Stochastic Passivity in Stochastic Differential Equations: A Port-Hamiltonian Perspective
by: Ackermann, Julia, et al.
Published: (2025)

Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
by: Ackermann, Julia, et al.
Published: (2025)

Equilibrium strategies in time-inconsistent stochastic control problems with constraints: necessary conditions
by: Mastrogiacomo, Elisa, et al.
Published: (2021)

Reflections on BSDEs
by: Possamaï, Dylan, et al.
Published: (2023)

A risk-sensitive ergodic singular stochastic control problem
by: Gwee, Justin, et al.
Published: (2025)

Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs
by: Compoint, Arthur, et al.
Published: (2025)

Constrained mean-field control with singular controls: Existence, stochastic maximum principle and constrained FBSDE
by: Bo, Lijun, et al.
Published: (2025)

Constrained stochastic linear quadratic control under regime switching with controlled jump size
by: Shi, Xiaomin, et al.
Published: (2024)

Law-invariant BSDEs and dynamic risk measures: new characterizations
by: Bensaid, Zakaria, et al.
Published: (2026)

Well-posedness of McKean-Vlasov generalized multivalued BSDEs
by: Liu, Qi, et al.
Published: (2025)

Extended mean-field control under constraints: The generalized Fritz-John conditions and Lagrangian method
by: Bo, Lijun, et al.
Published: (2024)

Constrained zero-sum LQ differential games for jump-diffusion systems with random coefficients
by: Tang, Yanyan, et al.
Published: (2026)

Exploiting the polyhedral geometry of stochastic linear bilevel programming
by: Muñoz, Gonzalo, et al.
Published: (2022)

An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version
by: Bourdais, Thibaut, et al.
Published: (2025)

Riccati equations and LQ-optimal control for a class of hyperbolic PDEs
by: Hastir, Anthony, et al.
Published: (2025)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)

Duality methods in stochastic optimal control
by: Bank, Peter, et al.
Published: (2026)

One-Dimensional McKean-Vlasov Stochastic Variational Inequalities and Coupled BSDEs with Locally Holder Noise Coefficients
by: Ning, Ning, et al.
Published: (2023)

Blackwell optimality in risk-sensitive stochastic control
by: Pitera, Marcin, et al.
Published: (2026)

Discrete time stochastic impulse control with delay
by: Hamadène, Said, et al.
Published: (2025)

Mean-field optimal control with stochastic leaders
by: Zimper, Sebastian, et al.
Published: (2025)

A stochastic maximum principle of mean-field type with monotonicity conditions
by: He, Bowen, et al.
Published: (2025)

Small noise perturbations of stochastic ergodic control problems
by: Kumar, K. Suresh, et al.
Published: (2024)

Time-inconsistent singular control problems: Reflection and Absolutely continuous controls with exploding rates
by: Bodnariu, Andi, et al.
Published: (2025)

An entropy penalized approach for stochastic control problems. Complete version
by: Bourdais, Thibaut, et al.
Published: (2023)

Maximum principle for optimal control of stochastic evolution equations with recursive utilities
by: Liu, Guomin, et al.
Published: (2021)

Null controllability for stochastic fourth order semi-discrete parabolic equations
by: Wang, Yu, et al.
Published: (2024)

Global-in-time optimal control of stochastic third-grade fluids with additive noise
by: Kinra, Kush, et al.
Published: (2025)

Maximum principle for recursive optimal control problem of stochastic delay evolution equations
by: Liu, Guomin, et al.
Published: (2023)

A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
by: Fu, Guanxing, et al.
Published: (2024)

Existence of optimal controls for stochastic partial differential equations with fully local monotone coefficients
by: Zong, Gaofeng
Published: (2025)

A gradient flow on control space with rough initial condition
by: Gassiat, Paul, et al.
Published: (2024)

Stochastic maximum principle for time-changed forward-backward stochastic control problem with Lévy noise
by: Chen, Jingwei, et al.
Published: (2026)

A sparse ADMM-based solver for linear MPC subject to terminal quadratic constraint
by: Krupa, Pablo, et al.
Published: (2021)

Time-reversal solution of BSDEs in stochastic optimal control: a linear quadratic study
by: Mei, Yuhang, et al.
Published: (2024)

The Koopmanization of controlled nonlinear Itô stochastic differential systems and its comparison with the Carleman embedding: new results
by: Lambe, Amruta, et al.
Published: (2025)

On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
by: Noba, Kei, et al.
Published: (2022)

New global Carleman estimates and null controllability for forward/backward semi-linear parabolic SPDEs
by: Zhang, Lei, et al.
Published: (2024)

Convergence analysis for an implementable scheme to solve the linear-quadratic stochastic optimal control problem with stochastic wave equation
by: Chaudhary, Abhishek
Published: (2025)