A direct approach to linear-quadratic stochastic control

DOI10.7494/OpMath.2017.37.6.821zbMath1401.93221MaRDI QIDQ4554795

Tyrone E. Duncan, Bozenna Pasik-Duncan

Publication date: 9 November 2018

Published in: Opuscula Mathematica (Search for Journal in Brave)

zbMATH Keywords

stochastic control; linear-quadratic Gaussian control; Riccati equation for optimization

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

93C05: Linear systems in control theory

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems

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Cites Work

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• Models and methods in economics and management science. Essays in honor of Charles S. Tapiero
• Linear-quadratic Control for Stochastic Equations in a Hilbert Space with Fractional Brownian Motions