Perturbed Linear-Quadratic Control Problems and Their Probabilistic Representations
Optimization and Control
2013-01-01 v1 Analysis of PDEs
Probability
Abstract
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs). Using the methods of stochastic control, nonlinear partial differential equations (PDEs) and BSDEs, we identify conditions for the solvability of the problem and obtain some regularity properties of the solutions.
Keywords
Cite
@article{arxiv.1212.6694,
title = {Perturbed Linear-Quadratic Control Problems and Their Probabilistic Representations},
author = {Coskun Cetin},
journal= {arXiv preprint arXiv:1212.6694},
year = {2013}
}
Comments
15 pages including references