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Linear quadratic control of backward stochastic differential equation with partial information.
Guangchen Wang
Wencan Wang
Zhiguo Yan
Published in:
Appl. Math. Comput. (2021)
Keyphrases
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partial information
linear quadratic
stochastic differential equations
optimal control
brownian motion
incomplete information
vector valued
closed loop
dynamical systems
control strategy
control system
multi agent systems
multiresolution
dynamic programming
state space
additive gaussian noise