The Delayed Doubly Stochastic Linear Quadratic Optimal Control Problem

Abstract EN

In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed.

It deduces the expression of the optimal control for the general delayed doubly stochastic control system which contained time delay both in the state variable and in the control variable at the same time and proves its uniqueness by using the classical parallelogram rule.

The paper is concerned with the generalized matrix value Riccati equation for a special delayed doubly stochastic linear quadratic control system and aims to give the expression of optimal control and value function by the solution of the Riccati equation.