Stochastic LQ control with recursive infinite-horizon costs is equivalent to classical LQ under a weighted L2-stabilizability condition, allowing translation of open-loop, closed-loop, and Riccati results.
Yu,Infinite horizon jump-diffusion forward-backward stochastic differential equations and their appli- cation to backward linear-quadratic problem,ESAIM: Control, Optim
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional in Infinite Horizon
Stochastic LQ control with recursive infinite-horizon costs is equivalent to classical LQ under a weighted L2-stabilizability condition, allowing translation of open-loop, closed-loop, and Riccati results.