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Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem 被引量：1

Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem
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摘要 In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations. In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.
作者 ZHANG DE-TAO
机构地区 School of Mathematics
出处 《Communications in Mathematical Research》 CSCD 2009年第5期402-410,共9页 数学研究通讯（英文版）
基金 The NSF(10671112)of China National Basic Research Program(973 Program)(2007CB814904)of China the NSF(Z2006A01)of Shandong Province and the Chinese New Century Young Teachers Program
关键词 backward stochastic differential equations optimal control Riccati equation backward stochastic differential equations, optimal control, Riccati equation
分类号 O211.63 [理学—概率论与数理统计] O232 [理学—运筹学与控制论]
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参考文献12

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二级参考文献14

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共引文献12

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二级引证文献1

Communications in Mathematical Research
2009年 第5期

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