Stochastic Linear Quadratic Optimal Control Problems Stochastic Linear Quadratic Optimal Control Problems

Shuping Chen

Department of Applied Mathematics, Zhejiang University, Hangzhou, China (amaschen@dial.zju.edu.cn)

Abstract

This talk deals with the stochastic linear quadratic (LQ) optimal control problems for which the coefficients are allowed to be random and the cost functional is allowed to have negative weight on control variable. The distinctive features are revealed and some intrinsic relations among the LQ problem, the stochastic maximum principle, and the (linear) forward-backward stochastic differential equations are expounded.


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On 14 May 1999, 18:17.