Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients
Work
Year: 2015
Type: article
Abstract: We are concerned with the linear-quadratic optimal stochastic control problem where all the coefficients of the control system and the running weighting matrices in the cost functional are allowed to ... more
Author Shanjian Tang
Institution Fudan University
Cites: 27
Cited by: 59
Related to: 10
FWCI: 6.897
Citation percentile (by year/subfield): 96.77
Subfield: Finance
Domain: Social Sciences
Open Access status: green