An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations

DOI10.1007/s10957-018-1237-1zbMath1402.93268OpenAlexW2788013561MaRDI QIDQ1626521

Y. Aharonov

Publication date: 27 November 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-018-1237-1

zbMATH Keywords

Hamiltonian systemforward-backward stochastic differential equationsstochastic differential delayed equationsstochastic linear quadratic problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Application models in control theory (93C95) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (3)

Backward stochastic differential equations with regime-switching and sublinear expectations ⋮ Control of time-varying systems based on forward Riccati formulation in hybrid functions domain ⋮ Linear quadratic optimal control problems of delayed backward stochastic differential equations

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