A direct approach to linear-quadratic stochastic control
A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic differential equations with a stochastic ma...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH Univeristy of Science and Technology Press
2017-01-01
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| Series: | Opuscula Mathematica |
| Subjects: | |
| Online Access: | http://www.opuscula.agh.edu.pl/vol37/6/art/opuscula_math_3743.pdf |