Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Itô’s stochastic delay equations as forward equations...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2012-01-01
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Series: | Journal of Applied Mathematics |
Online Access: | http://dx.doi.org/10.1155/2012/835319 |