scientific article; zbMATH DE number 2015378

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Publication:4438213

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zbMath1047.93049MaRDI QIDQ4438213

Andrew E. B. Lim, Xun Yu Zhou

Publication date: 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic optimal control backward stochastic differential equations linear quadratic problems Riccati-type equations completion of squares technique

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

Optimal variational principle for backward stochastic control systems associated with Lévy processes

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