Delayed Stochastic Linear‐Quadratic Control Problem and Related Applications

Li Chen, Zhen Wu and Zhiyong Yu

Journal of Applied Mathematics, 2012, vol. 2012, issue 1

Abstract: 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.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2012/835319

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2012:y:2012:i:1:n:835319

Access Statistics for this article

More articles in Journal of Applied Mathematics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().