General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients (Q5416838)
From MaRDI portal
scientific article; zbMATH DE number 6295669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients |
scientific article; zbMATH DE number 6295669 |
Statements
General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients (English)
0 references
15 May 2014
0 references
backward stochastic Riccati equation
0 references
dynamic programming
0 references
Itō-Ventzell formula
0 references
linear quadratic optimal stochastic control
0 references
Poisson random martingale measure
0 references
stochastic Hamilton system
0 references
