Design of a new linear quadratic stochastic optimal controller

MaRDI QIDQ3610233zbMATH OpenFDO

Authors Darong Huang, Yong-Qin Yang

Publication date 6 March 2009

zbMATH Keywords

backward stochastic differentialoptimal controlRiccati equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(4)

• Forward-backward stochastic differential equations and backward linear quadratic stochastic optimal control problem
• scientific article; zbMATH DE number 3941380 (Why is no real title available?)
• Weighted stochastic Riccati equations for generalization of linear optimal control
• Uniqueness of local minima for linear quadratic control design

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