Minimization of Risk and Linear Quadratic Optimal Control Theory

DOI10.1137/S0363012900372465zbMath1047.93048OpenAlexW2031392273MaRDI QIDQ4443032

Shanjian Tang, Michael Kohlmann

Publication date: 8 January 2004

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012900372465

zbMATH Keywords

BMO-martingaleminimization of risklinear-quadratic stochastic controlnonlinear backward stochastic Riccati equation

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80)

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