Delayed stochastic linear-quadratic control problem and related applications
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Publication:1760858
DOI10.1155/2012/835319zbMath1251.93138OpenAlexW2146214818WikidataQ58907437 ScholiaQ58907437MaRDI QIDQ1760858
Publication date: 15 November 2012
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/835319
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Cites Work
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- Maximum principle for the stochastic optimal control problem with delay and application
- Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
- Solution of forward-backward stochastic differential equations
- Anticipated backward stochastic differential equations
- Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
- A Delayed Black and Scholes Formula
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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