On the LQG theory with bounded control
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Publication:601741
DOI10.1007/s00030-010-0066-1zbMath1198.93236OpenAlexW2066108645MaRDI QIDQ601741
Alexander S. Bratus', Daniil V. Iourtchenko, José Luis Menaldi
Publication date: 29 October 2010
Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00030-010-0066-1
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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Cites Work
- Solution to a class of stochastic LQ problems with bounded control
- Local solutions to the Hamilton-Jacobi-Bellman equation in stochastic problems of optimal control
- Viscosity Solutions of Hamilton-Jacobi Equations
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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