D. Jacobson
Abstract
In a recent paper an equivalence was demonstrated between a certain stochastic optimal control problem and a linear-quadratic game. In this note it is pointed out that a more general equivalence exists which has an interesting form.
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In a recent paper an equivalence was demonstrated between a certain stochastic optimal control problem and a linear-quadratic game. In this note it is pointed out that a more general equivalence exists which has an interesting form.
Key concepts: Equivalence (formal languages), Optimal control, Stochastic control, Mathematics, Mathematical optimization, Linear-quadratic-Gaussian control, Quadratic equation, Mathematical economics