Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem  

作　　者：ZHANG DE-TAO 

机构地区：[1]School of Mathematics, Shandong University, Jinan, 250100

出　　处：《Communications in Mathematical Research》2009年第5期402-410,共9页数学研究通讯（英文版）

基　　金：The NSF(10671112)of China;National Basic Research Program(973 Program)(2007CB814904)of China;the NSF(Z2006A01)of Shandong Province and the Chinese New Century Young Teachers Program

摘　　要：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.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.

关 键 词：backward stochastic differential equations optimal control Riccati equation 

分 类 号：O211.63[理学—概率论与数理统计] O232[理学—数学]