Multidimensional Backward Stochastic Riccati Equations and Applications (Q4442957)
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scientific article; zbMATH DE number 2024236
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multidimensional Backward Stochastic Riccati Equations and Applications |
scientific article; zbMATH DE number 2024236 |
Statements
Multidimensional Backward Stochastic Riccati Equations and Applications (English)
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8 January 2004
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backward stochastic Riccati equation
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stochastic linear quadratic control problem
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algebraic transformation
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Feynman--Kac formula
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