Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients (Q5000639)
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scientific article; zbMATH DE number 7371735
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients |
scientific article; zbMATH DE number 7371735 |
Statements
Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients (English)
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15 July 2021
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coupled FBSDE
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stochastic LQ problem
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stochastic optimal control
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domination-monotonicity condition
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infinite horizon
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