Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
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Publication:2454166
DOI10.1016/j.sysconle.2014.03.009zbMath1288.93093MaRDI QIDQ2454166
Publication date: 13 June 2014
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2014.03.009
backward stochastic differential equation (BSDE); stochastic Riccati equation; stochastic linear quadratic optimal control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
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