A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
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Publication:3548433
DOI10.1080/07362990802286533zbMath1151.93035OpenAlexW1965475757MaRDI QIDQ3548433
Publication date: 12 December 2008
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990802286533
forward-backward stochastic differential equationsgeneralized expectationstochastic linear quadratic optimal control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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