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General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

Tang, Shanjian
  • 期刊名称SIAM Journal on Control and Optimization
  • 作者Tang, Shanjian
  • 卷第42卷
  • 期第1期
  • 印刷ISSN0363-0129
  • 电子ISSN1095-7138
  • 文件大小242.63KB
  • 发表时间2003-01
  • DOI10.1137/S0363012901387550
  • 页码53-75
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