An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem
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Publication:4650630
DOI10.1080/10556780310001636657zbMath1067.93063OpenAlexW2048648086MaRDI QIDQ4650630
Publication date: 18 February 2005
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556780310001636657
Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Sufficient conditions of optimality for stochastic systems with controllable diffusions
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