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"General Linear Quadratic Optimal Stochastic Control Problems with Random ..."

Shanjian Tang (2003)

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DOI: 10.1137/S0363012901387550

access: closed

type: Journal Article

metadata version: 2020-07-09

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Shanjian Tang:
General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations. SIAM J. Control. Optim. 42(1): 53-75 (2003)

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