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- Publisher
- Springer Journals
- Copyright
- Copyright © Springer-Verlag New York Inc. 2001
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s002450010016
- Publisher site
- See Article on Publisher Site
Abstract
. This paper is concerned with the stochastic linear quadratic optimal control problem (LQ problem, for short) for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. Some intrinsic relations among the LQ problem, the stochastic maximum principle, and the (linear) forward—backward stochastic differential equations are established. Some results involving Riccati equation are discussed as well.
Journal
Applied Mathematics & Optimization – Springer Journals
Published: Jan 1, 2001
Keywords: Key words. Stochastic LQ problem, Stochastic maximum principle, Forward—backward stochastic differential equations, Riccati equation. AMS Classification. 93E20, 49K45, 49N10, 60H10.