Numerical solution of the finite horizon stochastic linear quadratic control problem (Q5355099)
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scientific article; zbMATH DE number 6770161
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of the finite horizon stochastic linear quadratic control problem |
scientific article; zbMATH DE number 6770161 |
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Numerical solution of the finite horizon stochastic linear quadratic control problem (English)
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6 September 2017
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BDF methods
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Rosenbrock methods
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splitting methods
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stochastic LQR problem
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stochastic Riccati equations
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