Equivalent cost functionals and stochastic linear quadratic optimal control problems (Q4911009)

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scientific article; zbMATH DE number 6144567
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Equivalent cost functionals and stochastic linear quadratic optimal control problems
scientific article; zbMATH DE number 6144567

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    Equivalent cost functionals and stochastic linear quadratic optimal control problems (English)
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    13 March 2013
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    stochastic linear quadratic (LQ) problem
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    stochastic Hamiltonian system
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    forward-backward stochastic differential equation
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    Riccati equation
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    stochastic maximum principle
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