Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (Q4967693)
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scientific article; zbMATH DE number 7076348
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| English | Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions |
scientific article; zbMATH DE number 7076348 |
Statements
Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (English)
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3 July 2019
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linear-quadratic optimal control
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backward stochastic differential equations
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Riccati's equation
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