Linear quadratic optimal control problems of delayed backward stochastic differential equations
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Publication:2238967
DOI10.1007/s00245-021-09778-4zbMath1476.93162arXiv2008.02594WikidataQ115388205 ScholiaQ115388205MaRDI QIDQ2238967
Publication date: 2 November 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.02594
stochastic differential delayed equation; linear quadratic optimal control; delayed backward stochastic differential equation; delayed Riccati equation; delayed-advanced forward-backward stochastic differential equation; time-advanced stochastic differential delayed equation
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
34K50: Stochastic functional-differential equations
93C43: Delay control/observation systems