Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes (Q1044773)
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scientific article; zbMATH DE number 5647880
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| English | Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes |
scientific article; zbMATH DE number 5647880 |
Statements
Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes (English)
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15 December 2009
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backward stochastic differential equation
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generalized stochastic Riccati equation
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Lévy process
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stochastic linear quadratic optimal control
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0.8986729383468628
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0.8829629421234131
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0.8634613156318665
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0.860093355178833
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