Author:
Sun Jingrui,Wu Zhen,Xiong Jie
Abstract
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and state processes are presented in the cost functional. Based on a Hilbert space method, necessary and sufficient conditions are derived for the solvability of the problem, and a general approach for constructing optimal controls is developed. The crucial step in this construction is to establish the solvability of a Riccati-type equation, which is accomplished under a fairly weak condition by investigating the connection with forward stochastic LQ optimal control problems.
Funder
National Natural Science Foundation of China
Southern University of Science and Technology
Basic and Applied Basic Research Foundation of Guangdong Province
Natural Science Foundation of Shandong Province
Taishan Scholar Foundation of Shandong Province
Shenzhen Fundamental Research General Program
National Key R&D Program of China
Subject
Computational Mathematics,Control and Optimization,Control and Systems Engineering
Cited by
1 articles.
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