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Linear Quadratic Stochastic Optimal Control of Forward Backward Stochastic Control System Associated with Lévy Process
Joint Authors
Wang, Xiangrong
Huang, Hong
Xu, Lu
Hou, Ting
Source
Mathematical Problems in Engineering
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-09-25
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
This paper analyzes one kind of linear quadratic (LQ) stochastic control problem of forward backward stochastic control system associated with Lévy process.
We obtain the explicit form of the optimal control, then prove it to be unique, and get the linear feedback regulator by introducing one kind of generalized Riccati equation.
Finally, we discuss the solvability of the generalized Riccati equation, and its existence and uniqueness of the solutions are proved in a special case.
American Psychological Association (APA)
Huang, Hong& Wang, Xiangrong& Hou, Ting& Xu, Lu. 2017. Linear Quadratic Stochastic Optimal Control of Forward Backward Stochastic Control System Associated with Lévy Process. Mathematical Problems in Engineering،Vol. 2017, no. 2017, pp.1-11.
https://search.emarefa.net/detail/BIM-1189864
Modern Language Association (MLA)
Huang, Hong…[et al.]. Linear Quadratic Stochastic Optimal Control of Forward Backward Stochastic Control System Associated with Lévy Process. Mathematical Problems in Engineering No. 2017 (2017), pp.1-11.
https://search.emarefa.net/detail/BIM-1189864
American Medical Association (AMA)
Huang, Hong& Wang, Xiangrong& Hou, Ting& Xu, Lu. Linear Quadratic Stochastic Optimal Control of Forward Backward Stochastic Control System Associated with Lévy Process. Mathematical Problems in Engineering. 2017. Vol. 2017, no. 2017, pp.1-11.
https://search.emarefa.net/detail/BIM-1189864
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1189864