A finite horizon linear quadratic optimal stochastic control problem driven by both Brownian motion and Lévy processes (Q3306295)
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scientific article; zbMATH DE number 7233656
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| English | A finite horizon linear quadratic optimal stochastic control problem driven by both Brownian motion and Lévy processes |
scientific article; zbMATH DE number 7233656 |
Statements
12 August 2020
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linear quadratic optimal stochastic control problem
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backward Riccati differential equation
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Lévy processes
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adjoint equation
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quasilinearization iterative method
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0.8925021290779114
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0.8634613156318665
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0.85361647605896
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