Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients

DOI10.1137/140979940zbMath1312.93119arXiv1407.5031OpenAlexW2004700948MaRDI QIDQ5252510

Shanjian Tang

Publication date: 2 June 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.5031

zbMATH Keywords

dynamic programmingbackward stochastic differential equationsRiccati equationgeneral theory of stochastic processeslinear quadratic optimal stochastic controlDoob-Meyer's decomposition theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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