Journal of Applied Mathematics
- J. Appl. Math.
- Volume 2012 (2012), Article ID 835319, 22 pages.
Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
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.
J. Appl. Math., Volume 2012 (2012), Article ID 835319, 22 pages.
First available in Project Euclid: 2 January 2013
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Chen, Li; Wu, Zhen; Yu, Zhiyong. Delayed Stochastic Linear-Quadratic Control Problem and Related Applications. J. Appl. Math. 2012 (2012), Article ID 835319, 22 pages. doi:10.1155/2012/835319. https://projecteuclid.org/euclid.jam/1357153506