An Indefinite Stochastic Linear Quadratic Optimal Control Problem for the FBSDE System with Jumps

被引：0

作者：

Li, Na ^{[1
]}

Wu, Zhen ^{[2
]}

Yu, Zhiyong ^{[2
]}

机构：

[1] QiLu Normal Univ, Dept Math, Jinan 250013, Peoples R China

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

来源：

2015 34TH CHINESE CONTROL CONFERENCE (CCC) | 2015年

关键词：

Forward-backward stochastic differential equations; Poisson processes; Linear quadratic optimal control problem; CONTROL WEIGHT COSTS; DIFFERENTIAL-EQUATIONS; RICCATI-EQUATIONS; REGULATORS; FINANCE;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is concerned with an indefinite linear quadratic (LQ) optimal control problem for the forward-backward stochastic system with jumps. Based on positive definite LQ problems, we give a more general condition, under which the control weight cost need not to be positive. In this paper, a relax compensator plays an important role in solving the indefinite LQ problems. Moreover, we discuss the corresponding stochastic Hamiltonian system and give a representation of the open-loop control. The main results in this paper can also be used to solve more general problems in stochastic control theory.

引用

页码：1682 / 1686

页数：5

共 19 条

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