The linear-quadratic stochastic optimal control problem with random horizon at finite number of events independent of states system

zbMATH Open1316.93124MaRDI QIDQ5262685FDOQ5262685

Authors: Edward Kozłowski 

Publication date: 16 July 2015

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zbMATH Keywords

linear quadratic controlrandom horizondeterministic horizon

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35)

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• Stochastic linear-quadratic control with a jump and regime switching on a random horizon
• Linear-quadratic optimal control problem with a random horizon

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