A type of general FBSDEs and anticipated backward linear quadratic stochastic optimal control problems

摘要：

We prove the existence and the uniqueness of the solutions of a new type of general forward-backward stochastic differential equations (FBSDEs), where the forward equations are It(o) stochastic delayed ones and the backward equations are anticipated back stochastic differential equations, under some certain monotonicity?conditions. By using the solutions of the FBSDEs we discuss the anticipated backward linear quadratic optimal stochastic control problems.

关键词： Stochastic delayed differential equations anticipated backward stochastic differential equations forwardbackward stochastic differential equations backward linear quadratic stochastic optimal control.

作者: QIN Yongli

作者单位: School of Mathematics and Statistics, Shandong University at Weihai, Weihai 264209, P. R. China

会议类型: 国际会议

会议名称: The 24th Chinese Control and Decision Conference (第24届中国控制与决策学术年会 2012 CCDC)

会议地点: 太原

会议语种:英文

页码: 4069-4072

在线出版日期: 2012-05-23（万方平台首次上网日期，不代表论文的发表时间）