A direct approach to linear-quadratic stochastic control

DOI10.7494/OpMath.2017.37.6.821zbMath1401.93221MaRDI QIDQ4554795

Tyrone E. Duncan, Bozenna Pasik-Duncan

Publication date: 9 November 2018

Published in: Opuscula Mathematica (Search for Journal in Brave)

zbMATH Keywords

stochastic controllinear-quadratic Gaussian controlRiccati equation for optimization

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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Cites Work

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• Models and methods in economics and management science. Essays in honor of Charles S. Tapiero
• Linear-quadratic Control for Stochastic Equations in a Hilbert Space with Fractional Brownian Motions

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