Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
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Abstract: This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and state processes are present in the cost functional. Based on a Hilbert space method, necessary and sufficient conditions are derived for the solvability of the problem, and a general approach for constructing optimal controls is developed. The crucial step in this construction is to establish the solvability of a Riccati-type equation, which is accomplished under a fairly weak condition by investigating the connection with forward stochastic LQ optimal control problems.
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- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
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Cited in
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- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
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- On the solvability of a system of forward-backward linear equations with unbounded operator coefficients
- General indefinite backward stochastic linear-quadratic optimal control problems
- Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
- Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
- Forward-backward stochastic linear-quadratic optimal controls: equilibrium strategies and nonsymmetric Riccati equations
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