Characterization of optimal feedback for SLQ with general filtration

DOI10.3969/J.ISSN.0490-6756.2018.01.008MaRDI QIDQ4688845zbMATH OpenFDO

Authors Yan Ren

Publication date 22 October 2018

Full work available at URL https://doi.org/10.3969/J.ISSN.0490-6756.2018.01.008

zbMATH Keywords

feedback controlgeneral filtrationstochastic linear quadratic problemstransposition solution

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Feedback control (93B52) Optimal stochastic control (93E20)

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Cited in

(1)

• Characterization of optimal feedback for stochastic linear quadratic control problems

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