Characterization of optimal feedback for stochastic linear quadratic control problems
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Publication:2296103
DOI10.1186/s41546-017-0022-7zbMath1432.93384arXiv1602.08995WikidataQ59524038 ScholiaQ59524038MaRDI QIDQ2296103
Qi Lü, Tian Xiao Wang, Zhang, X.
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.08995
feedback control; backward stochastic differential equation; backward stochastic Riccati equation; stochastic linear quadratic problem
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93B52: Feedback control
93C05: Linear systems in control theory
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
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