Linear-quadratic optimal control for backward stochastic differential equations with random coefficients

DOI10.1051/COCV/2021049MaRDI QIDQ4999541zbMATH OpenOpenAlexWikidataFDO

Authors Jingrui Sun, Hanxiao Wang

Publication date 7 July 2021

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.12439

zbMATH Keywords

backward stochastic differential equationlinear-quadratic optimal controlrandom coefficientstochastic Riccati equation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Abstract: This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in the cost functional are allowed to be random. By a variational method, the optimality system, which is a coupled linear forward-backward stochastic differential equation (FBSDE, for short), is derived, and by a Hilbert space method, the unique solvability of the optimality system is obtained. In order to construct the optimal control, a new stochastic Riccati-type equation is introduced. It is proved that an adapted solution (possibly non-unique) to the Riccati equation exists and decouples the optimality system. With this solution, the optimal control is obtained in an explicit way.

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Cited in

(31)

• Stochastic linear quadratic optimal control problems with random coefficients
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