Publication:5868988
From MaRDI portal
DOI10.16205/j.cnki.cama.2021.0026MaRDI QIDQ5868988
Publication date: 27 September 2022
necessary optimality conditions; stochastic linear quadratic problems; backward stochastic Riccati equations; closed-loop optimal strategy
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
49K45: Optimality conditions for problems involving randomness