backward stochastic riccati equation
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Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients

SIAM Journal on Control and Optimization ◽

10.1137/18m1209684 ◽

2020 ◽

Vol 58 (1) ◽

pp. 393-424 ◽

Cited By ~ 2

Author(s):

Fu Zhang ◽

Yuchao Dong ◽

Qingxin Meng

Keyword(s):

Optimal Control ◽

Riccati Equation ◽

Random Coefficients ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Backward Stochastic Riccati Equation ◽

Quadratic Optimal Control ◽

Stochastic Riccati Equation

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On the Backward Stochastic Riccati Equation in Infinite Dimensions

SIAM Journal on Control and Optimization ◽

10.1137/s0363012903425507 ◽

2005 ◽

Vol 44 (1) ◽

pp. 159-194 ◽

Cited By ~ 18

Author(s):

Giuseppina Guatteri ◽

Gianmario Tessitore

Keyword(s):

Riccati Equation ◽

Infinite Dimensions ◽

Backward Stochastic Riccati Equation ◽

Stochastic Riccati Equation

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