General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

DOI10.1137/S0363012901387550zbMATH Open1035.93065OpenAlexW1965138785MaRDI QIDQ4442973

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Publication date: 8 January 2004

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Full work available at URL: https://doi.org/10.1137/s0363012901387550

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