Tang, Shanjian; Yan, Jiawei Stochastic Riccati differential equation driven by a Brownian motion. (Chinese. English summary) Zbl 1424.60073 Commun. Appl. Math. Comput. 32, No. 2, 256-266 (2018). Summary: The forward stochastic Riccati differential equation driven by a Brownian motion is considered. We prove that under proper conditions, this equation admits a unique strong solution. We also derive several properties of the solution. A special case of this equation is the Riccati differential equation, which arises in the solution of linear quadratic stochastic optimal control. MSC: 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) Keywords:Riccati equation; Brownian motion; stochastic optimal control PDFBibTeX XMLCite \textit{S. Tang} and \textit{J. Yan}, Commun. Appl. Math. Comput. 32, No. 2, 256--266 (2018; Zbl 1424.60073) Full Text: DOI