Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems

DOI10.1016/j.sysconle.2014.03.009zbMath1288.93093OpenAlexW2143861554MaRDI QIDQ2454166

Jianhui Huang, Zhi-Yong Yu

Publication date: 13 June 2014

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2014.03.009

zbMATH Keywords

backward stochastic differential equation (BSDE)stochastic Riccati equationstochastic linear quadratic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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