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Sub-Infinite Horizon Stochastic Linear-Quadratic Optimal Control Problems and Delayed Backward Riccati Equations
In this paper, we investigate a class of so-called sub-infinite horizon stochastic linear-quadratic optimal control problems, in which the initial time $t$ is arbitrarily taken from $[0,\infty)$ and the running cost is defined over $[t,t+T]$ for a given $T>0$. The optimal control of this type of pro
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