Partial Information Linear Quadratic Control for Jump Diffusions
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Publication:5320738
DOI10.1137/060667566zbMath1165.93037MaRDI QIDQ5320738
Publication date: 22 July 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/7432cf46cc985ba9051ab9f3e5d7155b7b81f366
partial information; jump diffusions; linear quadratic control; backward stochastic Riccati equations
60G51: Processes with independent increments; Lévy processes
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
91G80: Financial applications of other theories
60H05: Stochastic integrals
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