A mixed linear quadratic optimal control problem with a controlled time horizon (Q741141)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A mixed linear quadratic optimal control problem with a controlled time horizon |
scientific article |
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A mixed linear quadratic optimal control problem with a controlled time horizon (English)
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10 September 2014
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mixed linear-quadratic optimal control problem
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diffusion processes
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optimal stopping
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maximum principle
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stochastic Riccati equations
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