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scientific article; zbMATH DE number 1325009
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| English | No label defined |
scientific article; zbMATH DE number 1325009 |
Statements
19 August 1999
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nondefinite cost
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multiobjective control
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linear quadratic optimal control
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control-dependent diffusion
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Feynman-Kac formulae
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four-step scheme
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adapted solutions
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optimal control of stochastic differential equations
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stochastic optimal control
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sufficient conditions
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stochastic maximum principle
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Hamilton-Jacobi equation
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viscosity solutions
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stochastic LQ problem
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stochastic Riccati equation
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mean-variance portfolio selection
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Forward-Backward SDEs
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option pricing problems
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dynamic programming
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0.8593924641609192
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0.8541209101676941
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0.8400980830192566
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0.838925838470459
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