Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
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Publication:4604636
DOI10.1137/16M1104597zbMath1387.93180arXiv1611.06830MaRDI QIDQ4604636
Publication date: 5 March 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.06830
optimal trackinglinear quadratic controlbackward stochastic Riccati differential equationoptimal signal processstochastic terminal constraint
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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