Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
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Publication:2296121
Abstract: In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other can choose adapted random processes, called the random controller. The optimal control is shown to exist under suitable assumptions. The optimal control is characterized via a system of fully coupled forward-backward stochastic differential equations (FB-SDEs) of mean-field type. We solve the FBSDEs via solutions of two (but decoupled) Riccati equations, and give the respective optimal feedback law for both determinis-tic and random controllers, using solutions of both Riccati equations. The optimal state satisfies a linear stochastic differential equation (SDE) of mean-field type. Both the singular and infinite time-horizonal cases are also addressed.
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Cited in
(16)- Mixed optimal control for discrete-time stochastic systems with random coefficients
- A kind of non-zero sum mixed differential game of backward stochastic differential equation
- A general linear quadratic stochastic control and information value
- Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control
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- Note on strong law of large number under sub-linear expectation
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- scientific article; zbMATH DE number 794287 (Why is no real title available?)
- Maximum principle for stochastic recursive optimal control problem under model uncertainty
- Mixed optimal control of forward-backward stochastic system
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
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