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Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem
Authors:ZHANG DE-TAO  Shi Shao-yun
Affiliation:Zhang De-tao (School of Mathematics,Shandong University,Jinan,250100)
Abstract:
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.
Keywords:backward stochastic differential equations  optimal control  Riccati equation
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