A direct method for solving stochastic control problems
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Publication:352250
DOI10.4310/CIS.2012.v12.n1.a1zbMath1266.93165MaRDI QIDQ352250
Bozenna Pasik-Duncan, Tyrone E. Duncan
Publication date: 4 July 2013
Published in: Communications in Information and Systems (Search for Journal in Brave)
Brownian motionlinear-quadratic control problemstochastic control problemsexplicit optimal controlslinear exponential quadratic Gaussian control problem
Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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