Linear Quadratic Optimal Control Problems of Delayed Backward Stochastic Differential Equations
Autor: | Meng, Weijun, Shi, Jingtao |
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Rok vydání: | 2020 |
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Druh dokumentu: | Working Paper |
Popis: | 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. Comment: 33 pages |
Databáze: | arXiv |
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