Recursive LQ Problem for Delay Systems Involving Continuous and Impulse Controls

摘要：

This paper is concerned about the recursive linear-quadratic(LQ) optimal control problem for delay systems involving both continuous and impulse controls. The explicit form of the unique optimal control is given under some appropriate conditions via a kind of forward-backward differential equations and its existence and uniqueness are also be proved.

关键词： linear-quadratic stochastic optimal control anticipated backward stochastic differential equation forward-backward stochastic differential equation control systems with delay

作者: Li Chen Zhen Wu

作者单位: Department of Mathematics, China University of Mining and Technology, Beijing 100083, China Corresponding author. School of Mathematics, Shandong University, Jinan 250100, China

会议类型: 国际会议

会议名称: The 31st Chinese Control Conference(第三十一届中国控制会议)

会议地点: 合肥

会议语种:英文

页码: 1655-1658

在线出版日期: 2012-07-01（万方平台首次上网日期，不代表论文的发表时间）