Linear Quadratic Optimal Control Problems of Delayed Backward Stochastic Differential Equations
Optimization and Control
2020-08-07 v1
Abstract
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past history and the future state trajectory in a short period of time. This is one of the major distinctive features of the delayed backward stochastic linear quadratic optimal control problem. To obtain the optimal feedback, a new class of delayed Riccati equations is introduced and the unique solvability of their solutions are discussed in detail.
Cite
@article{arxiv.2008.02594,
title = {Linear Quadratic Optimal Control Problems of Delayed Backward Stochastic Differential Equations},
author = {Weijun Meng and Jingtao Shi},
journal= {arXiv preprint arXiv:2008.02594},
year = {2020}
}
Comments
33 pages