Necessary conditions in stochastic linear quadratic problems and their applications
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DOI: 10.1016/j.jmaa.2018.09.013
Abstract: Abstract Stochastic linear quadratic optimal control problems are considered. A unified approach is proposed to treat the necessary optimality conditions of closed-loop optimal strategies and open-loop optimal controls. Notice that the former notion does not… read more here.
Keywords: closed loop; linear quadratic; loop optimal; necessary conditions ... See more keywords