The Quadratic Problem for Stochastic Linear Control Systems with Delay
In this paper, we discuss the optimal control for stochastic linear system with delay in state and control variables and a quadratic criterion. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Ito stochastic delay equations as forward equations and anticipated backward stochastic differential equations as backward equations. Especially, we present the optimal feedback regulator for the system with time delay in control input via two different methods.
CHEN Li WU Zhen
Department of Mathematics, China University of Mining and Technology, Beijing 100083, P.R.China
国际会议
The 30th Chinese Control Conference(第三十届中国控制会议)
烟台
英文
1-6
2011-07-01（万方平台首次上网日期，不代表论文的发表时间）