Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
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Publication:2706144
DOI10.1137/S0363012998346578zbMath1023.93072OpenAlexW2165676571MaRDI QIDQ2706144
Publication date: 19 March 2001
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012998346578
well-posednessbackward stochastic differential equationstochastic Riccati equationstochastic linear quadratic regulatorcontrol weighting matrices
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)
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