Linear-quadratic optimal control under non-Markovian switching

DOI10.1080/07362994.2017.1381624zbMath1390.93865arXiv1609.04977OpenAlexW2963375883MaRDI QIDQ4607794

Marco Fuhrman, Fulvia Confortola, Giuseppina Guatteri, Gianmario Tessitore

Publication date: 14 March 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.04977

zbMATH Keywords

linear-quadratic optimal controloptimal control with stochastic coefficientsRiccati backward stochastic differential equations (Riccati BSDE)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (2)

The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems ⋮ Approximately reachable directions for piecewise linear switched systems

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