Existence of a solution for a class of stochastic Riccati equations

DOI10.13413/J.CNKI.JDXBLXB.2017.03.26MaRDI QIDQ3131702zbMATH OpenFDO

Authors Jie Xu, Xianrui Lv

Publication date 29 January 2018

zbMATH Keywords

backward stochastic differential equationstochastic Riccati equationconstraint conditionstochastic linear quadratic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• scientific article; zbMATH DE number 147611 (Why is no real title available?)
• Existence of solutions to a class of indefinite stochastic Riccati equations
• scientific article; zbMATH DE number 7366746 (Why is no real title available?)
• Gaussian density estimates for the solution of singular stochastic Riccati equations.
• Global solutions of a class of discrete-time backward nonlinear equations on ordered Banach spaces with applications to Riccati equations of stochastic control
• Stochastic Riccati differential equation driven by a Brownian motion
• Indefinite Stochastic Riccati Equations
• Construction of special soliton solutions to the stochastic Riccati equation

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