南方科技大学知识苑(SUSTech KC): Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems

题名	Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
作者	Sun, Jingrui1,2 ; Wu, Zhen 3; Xiong, Jie1,2
通讯作者	Wu, Zhen
发表日期	2023-05-24
DOI	10.1051/cocv/2023033
发表期刊	ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 影响因子和分区
ISSN	1292-8119
EISSN	1262-3377
卷号	29
摘要	This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and state processes are presented in the cost functional. Based on a Hilbert space method, necessary and sufficient conditions are derived for the solvability of the problem, and a general approach for constructing optimal controls is developed. The crucial step in this construction is to establish the solvability of a Riccati-type equation, which is accomplished under a fairly weak condition by investigating the connection with forward stochastic LQ optimal control problems.
关键词	Indefinite backward stochastic differential equation linear-quadratic optimal control Riccati equation
相关链接	[来源记录]
收录类别	SCI
语种	英语
学校署名	第一
资助项目	NSFC["12271242","2021A1515010031","JCYJ20220530112814032","TSPD20210302"] ; Guangdong Basic and Applied Basic Research Foundation[11831010] ; Shenzhen Fundamental Research General Program[61961160732] ; National Key R&D Program of China[61873325] ; Shandong Provincial Natural Science Foundation[2022YFA1006102] ; Taishan Scholars Climbing Program of Shandong[ZR2019ZD42] ; SUSTech start-up funds["Y01286120","Y01286220"]
WOS研究方向	Automation & Control Systems ; Mathematics
WOS类目	Automation & Control Systems ; Mathematics, Applied
WOS记录号	WOS:000994334400002
出版者	EDP SCIENCES S A
ESI学科分类	MATHEMATICS
来源库	Web of Science
引用统计	被引频次[WOS]：1
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/536310
专题	理学院_数学系
作者单位	1.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China 2.Southern Univ Sci & Technol, SUSTech Int Ctr Math, Shenzhen 518055, Peoples R China 3.Shandong Univ, Sch Math, Jinan 250100, Peoples R China
第一作者单位	数学系; 南方科技大学
第一作者的第一单位	数学系
推荐引用方式 GB/T 7714	Sun, Jingrui,Wu, Zhen,Xiong, Jie. Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems[J]. ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS,2023,29.
APA	Sun, Jingrui,Wu, Zhen,&Xiong, Jie.(2023).Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems.ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS,29.
MLA	Sun, Jingrui,et al."Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems".ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 29(2023).