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 |
本文献已被 CNKI 维普 万方数据 等数据库收录! |