Equivalent cost functionals and stochastic linear quadratic optimal control problems (Q4911009): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1051/cocv/2011206 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2063744783 / rank | |||
Normal rank | |||
Latest revision as of 14:39, 19 March 2024
scientific article; zbMATH DE number 6144567
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Equivalent cost functionals and stochastic linear quadratic optimal control problems |
scientific article; zbMATH DE number 6144567 |
Statements
Equivalent cost functionals and stochastic linear quadratic optimal control problems (English)
0 references
13 March 2013
0 references
stochastic linear quadratic (LQ) problem
0 references
stochastic Hamiltonian system
0 references
forward-backward stochastic differential equation
0 references
Riccati equation
0 references
stochastic maximum principle
0 references
