General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations (Q4442973)
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scientific article; zbMATH DE number 2024252
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations |
scientific article; zbMATH DE number 2024252 |
Statements
General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations (English)
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8 January 2004
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linear quadratic optimal stochastic control
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random coefficients
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Riccati equation
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backward stochastic differential equations
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stochastic Hamilton flows
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homomorphism of stochastic flows
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optimality conditions
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