Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem

被引：1

作者：

Zhang Detao School of MathematicsShandong UniversityJinan ^{[250100
]}

机构：

来源：

CommunicationsinMathematicalResearch | 2009年 / 25卷 / 05期

关键词：

backward stochastic differential equations; optimal control; Riccati equation;

D O I：

10.13447/j.1674-5647.2009.05.003

中图分类号：

O211.63 [随机微分方程]; O232 [最优控制];

学科分类号：

020208 ; 070103 ; 0714 ; 070105 ; 0711 ; 071101 ; 0811 ; 081101 ;

摘要：

In this paper,we use the solutions of forward-backward stochastic differ- ential equations to get the optimal control for backward stochastic linear quadratic optimal control problem.And we also give the linear feedback regulator for the op- timal control problem by using the solutions of a group of Riccati equations.

引用

页码：402 / 410

页数：9

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