Numerical solution of the finite horizon stochastic linear quadratic control problem
Journal article, 2017
splitting methods
stochastic LQR problem
stochastic Riccati equations
Rosenbrock methods
BDF methods
Author
T. Damm
Technische Universität Kaiserslautern
H. Mena
Yachay Tech
University of Innsbruck
Tony Stillfjord
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
University of Gothenburg
Numerical Linear Algebra with Applications
1070-5325 (ISSN) 10991506 (eISSN)
Vol. 24 4 e2091Subject Categories
Mathematics
DOI
10.1002/nla.2091