Relationship between backward stochastic differential equations and stochastic controls: A linear-quadratic approach

SIAM Journal on Control and Optimization

Volumn 38, Issue 5, 2000, Pages 1392-1407

  Kohlmann, Michael ^a   Zhou, Xun Yu ^b  

^a UNIVERSITY OF KONSTANZ   (Germany)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEM ANALYSIS; LINEAR CONTROL SYSTEMS; MATHEMATICAL MODELS; OPTIMAL CONTROL SYSTEMS; RANDOM PROCESSES; RICCATI EQUATIONS;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS (BSDE); BLACK-SCHOLES MODEL; LINEAR-QUADRATIC (LQ) CONTROL; STOCHASTIC RICCATI EQUATION (SRE);

STOCHASTIC CONTROL SYSTEMS;

EID: 0033719602     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S036301299834973X     Document Type: Article

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