Stochastic Linear Controlled Systems with Quadratic Cost Revisited
The subject of this article is quite classical. Indeed, the study of optimal control for continuous time diffusion processes began in the early 1960s with the stochastic linear regulator problem. We refer the reader to , , , , , and  for the literature and historical remarks related to the subject.
KeywordsOptimal Policy Quadratic Function Bellman Equation Control Diffusion Process Linear Control System
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