Delayed Stochastic Linear-Quadratic Control Problem and Related Applications

被引：28

作者：

Chen, Li ^{[2
]}

Wu, Zhen ^{[3
]}

Yu, Zhiyong ^{[1
]}

机构：

[1] Shandong Univ, Sch Econ, Jinan 250100, Peoples R China

[2] China Univ Min & Technol, Dept Math, Beijing 100083, Peoples R China

[3] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

来源：

JOURNAL OF APPLIED MATHEMATICS | 2012年

基金：

中国国家自然科学基金;

关键词：

DIFFERENTIAL-EQUATIONS; SYSTEMS;

D O I：

10.1155/2012/835319

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delay equations as forward equations and anticipated backward stochastic differential equations as backward equations. Especially, we present the optimal feedback regulator for the time delay system via a new type of Riccati equations and also apply to a population optimal control problem.

引用

页数：22

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