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A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation |
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| Authors: | Jiongmin Yong |
| Institution: | 1. Department of Mathematics , University of Central Florida , Orlando, Florida, USA jyong@mail.ucf.edu |
| Abstract: | Abstract In this article, we initiate a study on optimal control problem for linear stochastic differential equations with quadratic cost functionals under generalized expectation via backward stochastic differential equations. |
| Keywords: | Forward-backward stochastic differential equations Generalized expectation Stochastic linear quadratic optimal control |