Stochastic Linear Quadratic Optimal Control Problems
Journal Article
·
· Applied Mathematics and Optimization
- Department of Mathematics, Zhejiang University, Hangzhou 310027 (China)
- Laboratory of Mathematics for Nonlinear Sciences, Department of Mathematics, and Institute of Mathematical Finance, Fudan University, Shanghai 200433 (China)
This paper is concerned with the stochastic linear quadratic optimal control problem (LQ problem, for short) for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. Some intrinsic relations among the LQ problem, the stochastic maximum principle, and the (linear) forward-backward stochastic differential equations are established. Some results involving Riccati equation are discussed as well.
- OSTI ID:
- 21064266
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 1 Vol. 43; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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