Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
Optimization and Control
2026-01-30 v1
Abstract
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in whose well-posedness is a subtle issue. A suitable framework has been adopted so that the corresponding LQ problem is correctly formulated. Open-loop and closed-loop solvability of such an LQ problem have been investigated and characterized by the solvability of an FBSDE and that of Riccati differential equation.
Cite
@article{arxiv.2601.21748,
title = {Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional},
author = {Lin Li and Jiongmin Yong},
journal= {arXiv preprint arXiv:2601.21748},
year = {2026}
}
Comments
27 pages