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2012 Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
Li Chen, Zhen Wu, Zhiyong Yu
J. Appl. Math. 2012: 1-22 (2012). DOI: 10.1155/2012/835319


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.


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Li Chen. Zhen Wu. Zhiyong Yu. "Delayed Stochastic Linear-Quadratic Control Problem and Related Applications." J. Appl. Math. 2012 1 - 22, 2012.


Published: 2012
First available in Project Euclid: 2 January 2013

zbMATH: 1251.93138
MathSciNet: MR2979441
Digital Object Identifier: 10.1155/2012/835319

Rights: Copyright © 2012 Hindawi


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