Forward-Backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem
Year: 2009
Author: Detao Zhang
Communications in Mathematical Research , Vol. 25 (2009), Iss. 5 : pp. 402–410
Abstract
In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2009-CMR-19357
Communications in Mathematical Research , Vol. 25 (2009), Iss. 5 : pp. 402–410
Published online: 2009-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 9
Keywords: backward stochastic differential equations optimal control Riccati equation.