Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

Jingrui Sun, Xun Li, Jiongmin Yong. Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems. SIAM J. Control and Optimization, 54(5):2274-2308, 2016. [doi]

Authors

Jingrui Sun

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Xun Li

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Jiongmin Yong

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