General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
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Publication:4442973
DOI10.1137/S0363012901387550zbMATH Open1035.93065OpenAlexW1965138785MaRDI QIDQ4442973FDOQ4442973
Authors: Shanjian Tang 
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012901387550
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- scientific article; zbMATH DE number 1867101
- Linear-quadratic control of backward stochastic differential equations
backward stochastic differential equationsoptimality conditionsrandom coefficientsRiccati equationlinear quadratic optimal stochastic controlhomomorphism of stochastic flowsstochastic Hamilton flows
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
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