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Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint - MaRDI portal

Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (Q4604636)

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scientific article; zbMATH DE number 6846854
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Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
scientific article; zbMATH DE number 6846854

    Statements

    title
    Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (English)
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    author
    Peter Bank
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    Moritz Voß
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    publication date
    5 March 2018
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    zbMATH Keywords
    linear quadratic control
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    stochastic terminal constraint
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    backward stochastic Riccati differential equation
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    optimal tracking
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    optimal signal process
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    cites work
    Q4171952
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    Q4039796
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    Q4435813
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    Q4255599
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    Identifiers

    DOI
    10.1137/16M1104597
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    Mathematics Subject Classification ID
    93E20
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    60H10
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    91G80
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    zbMATH DE Number
    6846854
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    arXiv ID
    1611.06830
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    Wikidata QID
    Q130168119
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