Existence of a solution for a class of stochastic Riccati equations

DOI10.13413/J.CNKI.JDXBLXB.2017.03.26zbMATH Open1389.60074MaRDI QIDQ3131702FDOQ3131702

Authors: Jie Xu, Xianrui Lv 

Publication date: 29 January 2018

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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)

Cited In (8)

• Title not available (Why is that?)
• Existence of solutions to a class of indefinite stochastic Riccati equations
• Title not available (Why is that?)
• 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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