A finite horizon linear quadratic optimal stochastic control problem driven by both Brownian motion and Lévy processes (Q3306295)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A finite horizon linear quadratic optimal stochastic control problem driven by both Brownian motion and Lévy processes |
scientific article |
Statements
12 August 2020
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linear quadratic optimal stochastic control problem
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backward Riccati differential equation
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Lévy processes
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adjoint equation
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quasilinearization iterative method
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0.8925021290779114
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