General indefinite backward stochastic linear-quadratic optimal control problems
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Publication:5864595
DOI10.1051/cocv/2022030zbMath1492.93206arXiv2202.13667OpenAlexW4221149767WikidataQ114011463 ScholiaQ114011463MaRDI QIDQ5864595
Jiaqiang Wen, Jingrui Sun, Jie Xiong
Publication date: 8 June 2022
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.13667
optimal controlRiccati equationbackward stochastic differential equationlinear-quadraticnonhomo-geneous term
Related Items (2)
Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games ⋮ Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
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