Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (Q4210184)
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scientific article; zbMATH DE number 1200823
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs |
scientific article; zbMATH DE number 1200823 |
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Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (English)
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21 September 1998
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stochastic linear quadratic regulator
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well-posedness
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stochastic Riccati equation
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backward stochastic differential equation
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maximum principle
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