Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control
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Publication:2287586
DOI10.1016/j.amc.2019.124842zbMath1433.49040OpenAlexW2985421882WikidataQ126862911 ScholiaQ126862911MaRDI QIDQ2287586
Publication date: 21 January 2020
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2019.124842
backward stochastic differential equationmean-fieldfeedback expression of optimal controlmixed deterministic and random control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Optimality conditions for problems involving randomness (49K45)
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