Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients
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Publication:946222
DOI10.1007/s00245-007-9020-yzbMath1157.60058MaRDI QIDQ946222
Giuseppina Guatteri, Gianmario Tessitore
Publication date: 22 September 2008
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-007-9020-y
backward stochastic Riccati equation; infinite horizon control problem; LQ optimal control problem; stochastic coefficient
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
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