Quadratic control problem of neutral Ornstein-Uhlenbeck processes with control delays

DOI10.3934/DCDSB.2013.18.1651zbMath1401.60123OpenAlexW2326230548MaRDI QIDQ379003

Kai Liu

Publication date: 12 November 2013

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2013.18.1651

zbMATH Keywords

Riccati equationOrnstein-Uhlenbeck process of neutral typequadratic stochastic optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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