Linear quadratic optimal control problems of delayed backward stochastic differential equations
DOI10.1007/s00245-021-09778-4zbMath1476.93162arXiv2008.02594OpenAlexW3157446626WikidataQ115388205 ScholiaQ115388205MaRDI QIDQ2238967
Publication date: 2 November 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.02594
stochastic differential delayed equationlinear quadratic optimal controldelayed backward stochastic differential equationdelayed Riccati equationdelayed-advanced forward-backward stochastic differential equationtime-advanced stochastic differential delayed equation
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic functional-differential equations (34K50) Delay control/observation systems (93C43)
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