Tien Dung Nguyen
Abstract
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Stochastic Riccati equation is a backward stochastic differential equation with singular generator which arises naturally in the study of stochastic linear-quadratic optimal control problems. In this paper, we obtain Gaussian density estimates for the solutions to this equation.
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Stochastic Riccati equation is a backward stochastic differential equation with singular generator which arises naturally in the study of stochastic linear-quadratic optimal control problems. In this paper, we obtain Gaussian density estimates for the solutions to this equation.
Key concepts: Mathematics, Riccati equation, Stochastic differential equation, Linear-quadratic regulator, Algebraic Riccati equation, Stochastic control, Gaussian, Linear-quadratic-Gaussian control