A mixed linear quadratic optimal control problem with a controlled time horizon

DOI10.1007/S00245-013-9233-1MaRDI QIDQ741141zbMATH OpenOpenAlexFDO

Authors Jianhui Huang, Xun Li, Jiongmin Yong

Publication date 10 September 2014

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.0594

zbMATH Keywords

maximum principleoptimal stoppingdiffusion processesmixed linear-quadratic optimal control problemstochastic Riccati equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Abstract: A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control action $u(cdot)$ enters the drift and diffusion coefficients of both state equations, and a stopping time $au$, a possible later time after the first part of the state starts, at which the second part of the state is initialized with initial condition depending on the first state. A motivation of MLQ problem from a two-stage project management is presented. It turns out that solving MLQ problem is equivalent to sequentially solve a random-duration linear quadratic (RLQ, for short) problem and an optimal time (OT, for short) problem associated with Riccati equations. In particular, the optimal cost functional can be represented via two coupled stochastic Riccati equations. Some optimality conditions for MLQ problem is therefore obtained using the equivalence among MLQ, RLQ and OT problems.

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Cited in

(4)

• A mixed optimal stopping and control problem for linear stochastic systems under quadratic costs
• Two-stage stochastic optimal control problem under \(G\)-expectation
• Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon
• Stochastic \(H_2/H_{\infty}\) control for mean-field stochastic differential systems with \((x, u, v)\)-dependent noise

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