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20142022
most citedA kind of linear quadratic non-zero sum differential game of backward stochastic differential equation with asymmetric information

6 citations · 12 across the 8 of their papers we have counts for

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math.OC2022

Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems

Guangchen Wang, Heng Zhang

This paper presents a novel value iteration (VI) algorithm for finding the optimal control for a kind of infinite-horizon stochastic linear quadratic (SLQ) problem with unknown sys…