Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients
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Publication:5000639
DOI10.1137/20M1360517zbMath1467.93340MaRDI QIDQ5000639
Publication date: 15 July 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
infinite horizonstochastic optimal controlstochastic LQ problemcoupled FBSDEdomination-monotonicity condition
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items (3)
FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
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