Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations
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Publication:4920257
DOI10.1137/120873777zbMath1266.60107arXiv1203.3857OpenAlexW1974132278MaRDI QIDQ4920257
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Publication date: 16 May 2013
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.3857
stochastic differential equationbackward stochastic differential equationstochastic Riccati equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)
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