Stochastic linear-quadratic optimal control without time-consistency requirement

DOI10.4310/CIS.2015.V15.N4.A5zbMath1346.93401OpenAlexW2426927009MaRDI QIDQ314547

Yuan-Hua Ni, Ji-Feng Zhang

Publication date: 16 September 2016

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cis.2015.v15.n4.a5

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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