Discrete time backward stochastic linear quadratic optimal control
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Cites work
- Adapted solution of a backward stochastic differential equation
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrete-time stochastic LQ optimal control problem with random coefficients
- Fully coupled nonlinear FBSEs: solvability and LQ control insights
- General indefinite backward stochastic linear-quadratic optimal control problems
- scientific article; zbMATH DE number 3167340 (Why is no real title available?)
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- scientific article; zbMATH DE number 3504682 (Why is no real title available?)
- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Linear-quadratic control of backward stochastic differential equations
- LQ control of system governed by backward stochastic difference equations and applications
- Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations
- Numerical methods for backward stochastic differential equations: a survey
- On the “bang-bang” control problem
- On utility maximization in discrete-time financial market models
- Stochastic controls with terminal contingent conditions
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
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