Optimal control for infinite dimensional stochastic differential equations with infinite Markov jumps and multiplicative noise (Q483017)
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scientific article; zbMATH DE number 6380652
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| English | Optimal control for infinite dimensional stochastic differential equations with infinite Markov jumps and multiplicative noise |
scientific article; zbMATH DE number 6380652 |
Statements
Optimal control for infinite dimensional stochastic differential equations with infinite Markov jumps and multiplicative noise (English)
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15 December 2014
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optimal control
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stochastic differential equations
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Markov jumps
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linear quadratic control
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generalized Riccati differential equations
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detectability
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Itô's formula
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0.8343161344528198
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0.8301923871040344
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0.8282285332679749
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0.8256305456161499
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