Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

DOI10.1007/978-3-030-20922-3zbMath1458.93005OpenAlexW3039880972MaRDI QIDQ4967693

Jingrui Sun, Jiong-min Yong

Publication date: 3 July 2019

Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-20922-3

zbMATH Keywords

linear-quadratic optimal controlbackward stochastic differential equationsRiccati's equation

Mathematics Subject Classification ID

Differential games and control (49N70) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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