论文标题
延迟向后随机微分方程的线性二次最佳控制问题
Linear Quadratic Optimal Control Problems of Delayed Backward Stochastic Differential Equations
论文作者
论文摘要
本文涉及延迟向后随机微分方程的线性二次最佳控制问题。为最佳控制提供了明确表示，这是过去历史的线性反馈和在短时间内未来状态轨迹的线性反馈。这是延迟向后随机线性二次最佳控制问题的主要独特特征之一。为了获得最佳反馈，引入了一类新的延迟riccati方程，并详细讨论了其解决方案的独特解决性。
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past history and the future state trajectory in a short period of time. This is one of the major distinctive features of the delayed backward stochastic linear quadratic optimal control problem. To obtain the optimal feedback, a new class of delayed Riccati equations is introduced and the unique solvability of their solutions are discussed in detail.
