A stochastic maximum principle for linear quadratic problem with nonconvex control domain (Q2280172): Difference between revisions

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Latest revision as of 11:12, 28 December 2024

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A stochastic maximum principle for linear quadratic problem with nonconvex control domain
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    A stochastic maximum principle for linear quadratic problem with nonconvex control domain (English)
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    18 December 2019
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    stochastic maximum principle
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    stochastic linear quadratic problem
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    convex perturbation
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    backward stochastic differential equation
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