Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations
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Publication:3462240
DOI10.1137/140956051zbMath1339.49018arXiv1402.1483OpenAlexW2236281603MaRDI QIDQ3462240
Publication date: 5 January 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.1483
solvability conditionsbackward stochastic differential equationsubsolutionsstochastic Riccati equationlinear quadratic optimal stochastic control problems
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55)
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