Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
type: Item
instance of: scholarly article
title: Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
zbMATH Open document ID: 1426.93365
DOI: 10.1155/2017/2541687
author: Hong Huang
author: Ting Hou
author: Lu Xu
author: Xiangrong Wang
published in: Mathematical Problems in Engineering
publication date: 2018-11-05T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49N10
zbMATH DE Number: 6971877
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/2541687
OpenAlex ID: W2758284696
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description: scientific article; zbMATH DE number 6971877