General Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
Abstract
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in the cost functional are allowed to be indefinite and cross-product terms in the control and the state processes are present. Necessary and sufficient conditions for the solvability of the problem are obtained, and a characterization of the optimal control in terms of forward-backward stochastic differential equations is derived. By a Riccati equation approach, a general procedure for constructing optimal controls is developed and the value function is obtained explicitly.
Cite
@article{arxiv.2202.13667,
title = {General Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems},
author = {Jingrui Sun and Jiaqiang Wen and Jie Xiong},
journal= {arXiv preprint arXiv:2202.13667},
year = {2022}
}
Comments
20 pages. arXiv admin note: substantial text overlap with arXiv:2104.04747