Stochastic linear quadratic optimal control problems with random coefficients

Chinese Annals of Mathematics. Series B

Volumn 21, Issue 3, 2000, Pages 323-338

  Chen, Shuping ^a   Yong, Jiongmin ^b  

^a ZHEJIANG UNIVERSITY   (China)

^b FUDAN UNIVERSITY   (China)

Author keywords

Backward stochastic differential equation; Malliavin calculus; Riccati equation; Stochastic LQ problem

Indexed keywords

EID: 0034415498     PISSN: 02529599     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0252959900000339     Document Type: Article

References (17)

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