Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-22, 22 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-09-26
Country of Publication
Egypt
No. of Pages
22
Main Subjects
Abstract EN
We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables.
This problem will lead to a kind of generalized forward-backwardstochastic differential equations (FBSDEs) with Itô’s stochastic delay equations as forward equations and anticipated backward stochastic differential equations as backward equations.
Especially, we present the optimal feedback regulator for the time delay system via a new type of Riccati equations and also apply to a population optimal control problem.
American Psychological Association (APA)
Chen, Li& Wu, Zhen& Yu, Zhiyong. 2012. Delayed Stochastic Linear-Quadratic Control Problem and Related Applications. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-22.
https://search.emarefa.net/detail/BIM-1029019
Modern Language Association (MLA)
Chen, Li…[et al.]. Delayed Stochastic Linear-Quadratic Control Problem and Related Applications. Journal of Applied Mathematics No. 2012 (2012), pp.1-22.
https://search.emarefa.net/detail/BIM-1029019
American Medical Association (AMA)
Chen, Li& Wu, Zhen& Yu, Zhiyong. Delayed Stochastic Linear-Quadratic Control Problem and Related Applications. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-22.
https://search.emarefa.net/detail/BIM-1029019
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1029019