Linear Quadratic Optimal Control Problems of Delayed Backward Stochastic Differential Equations
نویسندگان
چکیده
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation derived for the control, which feedback entire past history and expected value future state trajectory in short period time. To obtain feedback, new class Riccati equations delayed-advanced forward-backward are introduced. Furthermore, unique solvability their solutions discussed detail.
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2021
ISSN: ['0095-4616', '1432-0606']
DOI: https://doi.org/10.1007/s00245-021-09778-4