Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
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Publication:2706144
DOI10.1137/S0363012998346578zbMath1023.93072MaRDI QIDQ2706144
Publication date: 19 March 2001
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
well-posedness; backward stochastic differential equation; stochastic Riccati equation; stochastic linear quadratic regulator; control weighting matrices
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
49K45: Optimality conditions for problems involving randomness
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