Indefinite Stochastic Riccati Equations
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Publication:4442976
DOI10.1137/S0363012901391330zbMath1039.60058OpenAlexW1974162151MaRDI QIDQ4442976
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/s0363012901391330
backward stochastic differential equationstochastic Riccati equationstochastic linear-quadratic optimal control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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