General linear quadratic optimal stochastic control problems with random coefficients: Linear stochastic Hamilton systems and backward stochastic Riccati equations

SIAM Journal on Control and Optimization

Volumn 42, Issue 1, 2003, Pages 53-75

  Tang, Shanjian ^a  

^a FUDAN UNIVERSITY   (China)

Author keywords

Backward stochastic differential equations; Homomorphism of stochastic flows; Linear quadratic optimal stochastic control; Optimality conditions; Random coefficients; Riccati equation; Stochastic Hamilton flows

Indexed keywords

HAMILTONIANS; MATRIX ALGEBRA; OPTIMIZATION; PROBLEM SOLVING; RICCATI EQUATIONS; STOCHASTIC CONTROL SYSTEMS; THEOREM PROVING;

BACKWARD STOCHASTIC HAMILTONIAN FLOWS; HAMILTON FLOWS; HOMOMORPHISM OF STOCHASTIC FLOW; LINEAR QUADRATIC STOCHASTIC CONTROL; RANDOM COEFFICIENTS;

OPTIMAL CONTROL SYSTEMS;

EID: 1842532397     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012901387550     Document Type: Article

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