Title
A Stochastic Linear Quadratic Optimal Control Problem With Generalized Expectation
Keywords
Forward-backward stochastic differential equations; Generalized expectation; Stochastic linear quadratic optimal control
Abstract
In this article, we initiate a study on optimal control problem for linear stochastic differential equations with quadratic cost functionals under generalized expectation via backward stochastic differential equations. Copyright © Taylor & Francis Group, LLC.
Publication Date
11-1-2008
Publication Title
Stochastic Analysis and Applications
Volume
26
Issue
6
Number of Pages
1136-1160
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1080/07362990802286533
Copyright Status
Unknown
Socpus ID
55249098899 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/55249098899
STARS Citation
Yong, Jiongmin, "A Stochastic Linear Quadratic Optimal Control Problem With Generalized Expectation" (2008). Scopus Export 2000s. 9305.
https://stars.library.ucf.edu/scopus2000/9305