@Article{Duncan2017,
author = "Duncan, Tyrone E. and Pasik-Duncan, Bozenna",
title = "A direct approach to linear-quadratic stochastic control",
journal = "Opuscula Math.",
year = "2017",
volume = "37",
number = "6",
pages = "821--827",
doi = "http://dx.doi.org/10.7494/OpMath.2017.37.6.821",
url = "http://dx.doi.org/10.7494/OpMath.2017.37.6.821",
abstract = "A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic differential equations with a stochastic maximum principle or the use of a dynamic programming principle. The appropriate Riccati equation is obtained as part of the optimization problem. The noise processes can be fairly general including the family of fractional Brownian motions.",
keywords = "linear-quadratic Gaussian control, Riccati equation for optimization, stochastic control",
issn = "1232-9274"
}