Equivalent cost functionals and stochastic linear quadratic optimal control problems

DOI10.1051/cocv/2011206zbMath1258.93129OpenAlexW2063744783MaRDI QIDQ4911009

Zhi-Yong Yu

Publication date: 13 March 2013

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2011206

zbMATH Keywords

stochastic maximum principleRiccati equationforward-backward stochastic differential equationstochastic Hamiltonian systemstochastic linear quadratic (LQ) problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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