Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint

DOI10.1137/16M1104597zbMath1387.93180arXiv1611.06830MaRDI QIDQ4604636

Peter Bank, Moritz Voß

Publication date: 5 March 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.06830

zbMATH Keywords

optimal tracking; linear quadratic control; backward stochastic Riccati differential equation; optimal signal process; stochastic terminal constraint

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

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