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- W1543702941 abstract "An indefinite stochastic Riccati equation (SRE), arising from linear-quadratic optimal control problems, is a matrix-valued quadratic backward stochastic differential equation along with an algebraic constraint involving the unknown. Such an equation admits an adapted solution only if the given data satisfy certain solvability condition that has yet to be precisely defined. In this paper, we derive several novel sufficient conditions that ensure the existence of solutions to SREs, including a general result based on a notion called the subsolution, and some practicable criteria of solvability." @default.
- W1543702941 created "2016-06-24" @default.
- W1543702941 creator A5045736256 @default.
- W1543702941 date "2014-02-06" @default.
- W1543702941 modified "2023-09-27" @default.
- W1543702941 title "Solvability conditions for indefinite stochastic Riccati equations" @default.
- W1543702941 hasPublicationYear "2014" @default.
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