Embedding adaptive JLQG into LQ martingale control with a completely observable stochastic control matrix (Q4884113)
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scientific article; zbMATH DE number 898338
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Embedding adaptive JLQG into LQ martingale control with a completely observable stochastic control matrix |
scientific article; zbMATH DE number 898338 |
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Embedding adaptive JLQG into LQ martingale control with a completely observable stochastic control matrix (English)
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7 October 1996
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jump linear quadratic Gaussian
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optimal control problems
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open-loop-optimal-feedback
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Hamilton-Jacobi-Bellman equation
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averaging
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