Equivalent cost functionals and stochastic linear quadratic optimal control problems (Q4911009)
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scientific article; zbMATH DE number 6144567
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Equivalent cost functionals and stochastic linear quadratic optimal control problems |
scientific article; zbMATH DE number 6144567 |
Statements
Equivalent cost functionals and stochastic linear quadratic optimal control problems (English)
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13 March 2013
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stochastic linear quadratic (LQ) problem
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stochastic Hamiltonian system
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forward-backward stochastic differential equation
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Riccati equation
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stochastic maximum principle
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