A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation |
| |
Authors: | Jiongmin Yong |
| |
Affiliation: | 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 |
|
|