Delayed stochastic linear-quadratic control problem and related applications
type: Item
instance of: scholarly article
title: Delayed stochastic linear-quadratic control problem and related applications
zbMATH Open document ID: 1251.93138
DOI: 10.1155/2012/835319
author: Li Chen
author: Zhen Wu
author: Zhiyong Yu
published in: Journal of Applied Mathematics
publication date: 2012-11-15T00:00:00Z
review text: Summary: 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-backward stochastic 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.
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6106324
zbMATH Keywords: quadratic criterion
zbMATH Keywords: optimal control
zbMATH Keywords: stochastic linear system
Wikidata QID: Q58907437
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/835319
OpenAlex ID: W2146214818
cites work: A Delayed Black and Scholes Formula
cites work: Q3707054
cites work: Q4379368
cites work: Q3159178
cites work: Anticipated backward stochastic differential equations
cites work: Maximum principle for the stochastic optimal control problem with delay and application
cites work: Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games
cites work: The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
cites work: Solution of forward-backward stochastic differential equations
cites work: Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
cites work: Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
cites work: Q4266941
DBLP publication ID: journals/jam/ChenWY12
Recommended article: The delayed doubly stochastic linear quadratic optimal control problem
Recommended article: Delayed Optimal Control of Stochastic LQ Problem
Recommended article: Linear quadratic optimal control problems of delayed backward stochastic differential equations
Recommended article: Forward-backward linear quadratic stochastic optimal control problem with delay
Recommended article: An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations
Recommended article: A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
Recommended article: Stochastic linear quadratic regulation for discrete-time linear systems with input delay
Recommended article: Stochastic control problems with delay
Recommended article: Q4715840
Recommended article: Stochastic controllability of linear systems with delay in control
description: scientific article; zbMATH DE number 6106324