Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
نویسندگان
چکیده
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem backward stochastic differential equations (BSDEs, short), where the coefficients of system and weighting matrices in cost functional are allowed to be random. By variational method, optimality system, which coupled linear forward-backward equation (FBSDE, derived, by Hilbert space unique solvability obtained. In order construct control, new Riccati-type introduced. It proved that an adapted solution (possibly non-unique) Riccati exists decouples system. With this solution, obtained explicit way.
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ژورنال
عنوان ژورنال: ESAIM: Control, Optimisation and Calculus of Variations
سال: 2021
ISSN: ['1262-3377', '1292-8119']
DOI: https://doi.org/10.1051/cocv/2021049