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

被引：1
作者：
Zhang De-tao (School of Mathematics
机构：
来源：
Communications in Mathematical Research | 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 ; 070105 ; 0711 ; 071101 ; 0714 ; 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.
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收藏
页码：402 / 410
页数：9
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