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Volume 25, Issue 5
Forward-Backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem

Detao Zhang

Commun. Math. Res., 25 (2009), pp. 402-410.

Published online: 2021-07

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  • Abstract

In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.

  • Keywords

backward stochastic differential equations, optimal control, Riccati equation.

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COPYRIGHT: © Global Science Press

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@Article{CMR-25-402, author = {Zhang , Detao}, title = {Forward-Backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem}, journal = {Communications in Mathematical Research }, year = {2021}, volume = {25}, number = {5}, pages = {402--410}, abstract = {

In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.

}, issn = {2707-8523}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/cmr/19357.html} }
TY - JOUR T1 - Forward-Backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem AU - Zhang , Detao JO - Communications in Mathematical Research VL - 5 SP - 402 EP - 410 PY - 2021 DA - 2021/07 SN - 25 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/cmr/19357.html KW - backward stochastic differential equations, optimal control, Riccati equation. AB -

In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.

Zhang , Detao. (2021). Forward-Backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem. Communications in Mathematical Research . 25 (5). 402-410. doi:
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