A type of general FBSDEs and anticipated backward linear quadratic stochastic optimal control problems

Author

Qin Yongli

Author_Institution

Sch. of Math. & Stat., Shandong Univ. at Weihai, Weihai, China

fYear

2012

fDate

23-25 May 2012

Firstpage

4052

Lastpage

4055

Abstract

We prove the existence and the uniqueness of the solutions of a new type of general forward-backward stochastic differential equations (FBSDEs), where the forward equations are Itô stochastic delayed ones and the backward equations are anticipated back stochastic differential equations, under some certain “monotonicity” conditions. By using the solutions of the FBSDEs we discuss the anticipated backward linear quadratic optimal stochastic control problems.

Keywords

differential equations; linear quadratic control; stochastic processes; stochastic systems; Itô stochastic delayed ones; anticipated back stochastic differential equations; anticipated backward linear quadratic stochastic optimal control problems; backward equations; forward equations; general FBSDE; general forward-backward stochastic differential equations; monotonicity conditions; Differential equations; Educational institutions; Equations; Indium tin oxide; Optimal control; Symmetric matrices; Trajectory; Stochastic delayed differential equations; anticipated backward stochastic differential equations; backward linear quadratic stochastic optimal control; forward-backward stochastic differential equations;

fLanguage

English

Publisher

ieee

Conference_Titel

Control and Decision Conference (CCDC), 2012 24th Chinese

Conference_Location

Taiyuan

Print_ISBN

978-1-4577-2073-4

Type

conf

DOI

10.1109/CCDC.2012.6244647

Filename

6244647