Indefinite stochastic Riccati equations

SIAM Journal on Control and Optimization

Volumn 42, Issue 1, 2003, Pages 123-137

  Hu, Ying ^a   Zhou, Xun Yu ^b  

^a UNIVERSITÉ DE RENNES 1   (France)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Backward stochastic differential equation; Stochastic linear quadratic optimal control; Stochastic Riccati equation

Indexed keywords

BROWNIAN MOVEMENT; MATRIX ALGEBRA; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING; RICCATI EQUATIONS; THEOREM PROVING;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC LINEAR-QUADRATIC OPTIMAL CONTROL; STOCHASTIC RICCATI EQUATION;

STOCHASTIC CONTROL SYSTEMS;

EID: 1842427943     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012901391330     Document Type: Article

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