BDSDEs with Markov Chains and Applications in Markovian-Switching LQ Problems for Backward Doubly Stochastic System

摘要：

In this paper,we introduce a new type of BDSDEs with Markov Chains.We also consider the backward doubly stochastic systems with Markovian-Switching described by the BDSDEs with Markov Chains and obtain the unique optimal control for the stochastic switching LQ problems.

作者: TAO Ran WU Zhen

作者单位: School of Mathematics,Shandong University,Jinan 250100,P.R.China

会议类型: 国际会议

会议名称: The 30th Chinese Control Conference(第三十届中国控制会议)

会议地点: 烟台

会议语种:英文

页码: 1-6

在线出版日期: 2011-07-01（万方平台首次上网日期，不代表论文的发表时间）