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/V10065-010-0041-9zbMATH Open1284.93263OpenAlexW2005750848MaRDI QIDQ5406670FDOQ5406670
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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Cited In (4)
- Numerical solution of the finite horizon stochastic linear quadratic control problem
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- Markov decision processes on Borel spaces with total cost and random horizon
- Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon
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