Solution and Control of a Bilinear stochastic Delay Equation

DOI10.1137/0328052zbMath0712.93066OpenAlexW2106931337MaRDI QIDQ3197739

Franco Flandoli

Publication date: 1990

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0328052

zbMATH Keywords

Riccati equationlinear quadratic regulator problembilinear stochastic delay equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)

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