Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes (Q1044773): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes |
scientific article |
Statements
Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes (English)
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15 December 2009
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backward stochastic differential equation
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generalized stochastic Riccati equation
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Lévy process
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stochastic linear quadratic optimal control
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