scientific article; zbMATH DE number 4210034

MaRDI QIDQ3358630zbMATH OpenFDO

Authors V. Y. Glizer

Publication date 1990

zbMATH Keywords

Riccati equationstochastic linear-quadratic problem

Mathematics Subject Classification ID

Singular perturbations of ordinary differential equations (34D15) Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited in

(3)

• Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems
• Singular Perturbations in Stochastic Ergodic Control Problems
• Linear quadratic Pareto optimal control problem of stochastic singular systems

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