Stochastic linear quadratic optimal control problems (Q5929886)
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scientific article; zbMATH DE number 1587018
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English | Stochastic linear quadratic optimal control problems |
scientific article; zbMATH DE number 1587018 |
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Stochastic linear quadratic optimal control problems (English)
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18 September 2001
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The stochastic linear quadratic optimal control problem is extensively studied for the case of random coefficients, what is highly important in applications like mathematical finance (mean variance hedging). The cost functional is allowed to have a negative weight on the square of the control which reveals interesting differences to the deterministic case. The methods of this contribution to the stochastic LQ-theory rely on the relations between the stochastic maximum principle, forward-backward stochastic differential equations and results on Riccati equations.
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stochastic LQ problem
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forward-backward stochastic differential
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random coefficients
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stochastic maximum principle
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Riccati equations
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