General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients (Q5416838): Difference between revisions
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scientific article; zbMATH DE number 6295669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients |
scientific article; zbMATH DE number 6295669 |
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General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients (English)
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15 May 2014
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backward stochastic Riccati equation
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dynamic programming
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Itō-Ventzell formula
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linear quadratic optimal stochastic control
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Poisson random martingale measure
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stochastic Hamilton system
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