Stochastic linear quadratic optimal control problems with random coefficients

DOI10.1142/S0252959900000339zbMATH Open0990.93133OpenAlexW2261883883MaRDI QIDQ1586099FDOQ1586099

Authors: Shuping Chen, Jiongmin Yong 

Publication date: 12 March 2001

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0252959900000339

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zbMATH Keywords

Malliavin calculusrandom coefficientscontraction mapping theoremstochastic Riccati equationstochastic linear quadratic control

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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