Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
type: Item
instance of: scholarly article
title: Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
zbMATH Open document ID: 1178.93148
author: Huaibin Tang
author: Zhen Wu
published in: Journal of Systems Science and Complexity
publication date: 2009-12-15T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49N10
Mathematics Subject Classification ID: 49K40
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 5647880
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: generalized stochastic Riccati equation
zbMATH Keywords: Lévy process
zbMATH Keywords: stochastic linear quadratic optimal control
MaRDI profile type: Publication
full work available at URL: s11424-009-9151-0
OpenAlex ID: W2037998783
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DOI: 10.1007/S11424-009-9151-0
description: scientific article; zbMATH DE number 5647880