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Stochastic Linear-Quadratic Control

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Encyclopedia of Systems and Control

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Abstract

In this short article, we briefly review some major historical studies and recent progress on continuous-time stochastic linear-quadratic (SLQ) control and related mean-variance (MV) hedging.

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Author information

Authors and Affiliations

  1. Fudan University, Shanghai, China

    Dr.Shanjian Tang

Authors
  1. Dr.Shanjian Tang
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Corresponding author

Correspondence to Dr.Shanjian Tang .

Editor information

Editors and Affiliations

  1. Electrical and Computer Engineering, Boston University, Boston, Massachusetts, USA

    John Baillieul

  2. Automation and Control Solutions, Honeywell, Golden Valley, Minnesota, USA

    Tariq Samad

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© 2014 Springer-Verlag London

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Tang, D. (2014). Stochastic Linear-Quadratic Control. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_228-1

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  • DOI: https://doi.org/10.1007/978-1-4471-5102-9_228-1

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  • Publisher Name: Springer, London

  • Online ISBN: 978-1-4471-5102-9

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