Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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Publication:4210184
DOI10.1137/S0363012996310478zbMath0916.93084OpenAlexW2997572556MaRDI QIDQ4210184
Xunjing Li, Xun Yu Zhou, Shu-ping Chen
Publication date: 21 September 1998
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012996310478
maximum principlewell-posednessbackward stochastic differential equationstochastic Riccati equationstochastic linear quadratic regulator
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