Linear-Quadratic Control of Backward Stochastic Differential Equations
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Publication:2753213
DOI10.1137/S0363012900374737zbMath0995.93074MaRDI QIDQ2753213
Publication date: 29 October 2001
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
linear-quadratic optimal controlconstrained optimizationRiccati equationsbackward stochastic differential equationscompletion of squares
Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Existence theories for optimal control problems involving ordinary differential equations (49J15)
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