zbMath1023.93071MaRDI QIDQ2712221
Shu-ping Chen, Xinhui Yu
Publication date: 6 May 2001
zbMATH Keywords
stochastic optimal control; stochastic maximum principle; existence and uniqueness; control weighting matrices
Mathematics Subject Classification ID
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems