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General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients
12 references·1 citing·34 second hop
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References

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  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
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  • 2000Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach167 cited
  • 2005Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection111 cited
  • 2001Stochastic Linear Quadratic Optimal Control Problems96 cited
  • 2003Multidimensional Backward Stochastic Riccati Equations and Applications81 cited
  • 2003Minimization of Risk and Linear Quadratic Optimal Control Theory52 cited
  • 2008Partial Information Linear Quadratic Control for Jump Diffusions45 cited

Cited by

  • 2020Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients28 cited

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