Irregular LQG optimal control problem involving multiplicative noise
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Publication:6161377
DOI10.1016/j.sysconle.2023.105514zbMath1519.93233MaRDI QIDQ6161377
Huan-Shui Zhang, Juanjuan Xu, Nana Jin
Publication date: 27 June 2023
Published in: Systems \& Control Letters (Search for Journal in Brave)
generalized Riccati equationmultiplicative noiseforward and backward stochastic differential equationsirregular LQG
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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