The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events
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Publication:5406670
DOI10.2478/v10065-010-0041-9zbMath1284.93263OpenAlexW2005750848MaRDI QIDQ5406670
Publication date: 2 April 2014
Published in: Annales UMCS, Informatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2478/v10065-010-0041-9
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Cites Work
- Concepts and methods for discrete and continuous time control under uncertainty
- On infinite-time nonlinear quadratic optimal control
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
- An algorithm for a solution of a stochastic adaptive linear quadratic optimal control problem
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