A direct method for solving stochastic control problems

DOI10.4310/CIS.2012.v12.n1.a1zbMath1266.93165MaRDI QIDQ352250

Bozenna Pasik-Duncan, Tyrone E. Duncan

Publication date: 4 July 2013

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

zbMATH Keywords

Brownian motionlinear-quadratic control problemstochastic control problemsexplicit optimal controlslinear exponential quadratic Gaussian control problem

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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