General indefinite backward stochastic linear-quadratic optimal control problems
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Publication:5864595
DOI10.1051/COCV/2022030zbMATH Open1492.93206arXiv2202.13667OpenAlexW4221149767WikidataQ114011463 ScholiaQ114011463MaRDI QIDQ5864595FDOQ5864595
Authors: Jingrui Sun, Jiaqiang Wen, Jie Xiong 
Publication date: 8 June 2022
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Abstract: A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in the cost functional are allowed to be indefinite and cross-product terms in the control and the state processes are present. Necessary and sufficient conditions for the solvability of the problem are obtained, and a characterization of the optimal control in terms of forward-backward stochastic differential equations is derived. By a Riccati equation approach, a general procedure for constructing optimal controls is developed and the value function is obtained explicitly.
Full work available at URL: https://arxiv.org/abs/2202.13667
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