Backward Stochastic Control: Infinite Horizon Case

Zhen Wu and Qixia Zhang

Mathematical Problems in Engineering, 2014, vol. 2014, 1-8

Abstract:

The mixed control problem is studied for systems governed by infinite horizon backward stochastic differential equations (BSDEs) with exogenous disturbance signal. A necessary and sufficient condition for the existence of a unique solution to the control problem is derived. The equivalent feedback solution is also discussed. Contrary to deterministic or stochastic forward case, the feedback solution is no longer feedback of the current state; rather, it is feedback of the entire history of the state.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:421687

DOI: 10.1155/2014/421687

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