Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients (Q5252510)
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scientific article; zbMATH DE number 6441918
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients |
scientific article; zbMATH DE number 6441918 |
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Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients (English)
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2 June 2015
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linear quadratic optimal stochastic control
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Doob-Meyer's decomposition theorem
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general theory of stochastic processes
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Riccati equation
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backward stochastic differential equations
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dynamic programming
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