A BSDE approach to stochastic linear quadratic control problem

DOI10.1002/OCA.2707zbMath1472.93204OpenAlexW3128322766MaRDI QIDQ5159834

Wei Zhang, Liangquan Zhang

Publication date: 28 October 2021

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2707

zbMATH Keywords

maximum principleforward-backward stochastic differential equationsstochastic linear quadratic optimal controlHilbert method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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