Stochastic Linear Quadratic Optimal Control Problems

• 1 January 2001
• journal article
• research article
• Published by Springer Nature in Applied Mathematics & Optimization
• Vol. 43  (1) , 21-45
• https://doi.org/10.1007/s002450010016

Abstract

Keywords

• KEY WORDS. STOCHASTIC LQ PROBLEM
• STOCHASTIC MAXIMUM PRINCIPLE
• FORWARD—BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
• RICCATI EQUATION. AMS CLASSIFICATION. 93E20
• 49K45
• 49N10
• 60H10.