LQ control of forward and backward stochastic difference system

DOI10.1080/00207721.2021.2004260zbMath1492.93210OpenAlexW3216225288MaRDI QIDQ5865445

Guangchen Wang, Shen Zhang, Juanjuan Xu, Huan-Shui Zhang

Publication date: 13 June 2022

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207721.2021.2004260

zbMATH Keywords

maximum principlepartial informationmulti-multiplicative noises

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic difference equations (39A50)

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