Stochastic linear quadratic optimal control problems
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Publication:5929886
DOI10.1007/s002450010016zbMath0969.93044OpenAlexW2074988991MaRDI QIDQ5929886
Publication date: 18 September 2001
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s002450010016
Riccati equationsforward-backward stochastic differentialrandom coefficientsstochastic LQ problemstochastic maximum principle
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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