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- W2997427571 abstract "This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in the cost functional are allowed to be random. By a variational method, the optimality system, which is a coupled linear forward-backward stochastic differential equation (FBSDE, for short), is derived, and by a Hilbert space method, the unique solvability of the optimality system is obtained. In order to construct the optimal control, a new stochastic Riccati-type equation is introduced. It is proved that an adapted solution (possibly non-unique) to the Riccati equation exists and decouples the optimality system. With this solution, the optimal control is obtained in an explicit way." @default.
- W2997427571 created "2020-01-10" @default.
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- W2997427571 date "2019-12-28" @default.
- W2997427571 modified "2023-10-17" @default.
- W2997427571 title "Linear-Quadratic Optimal Control for Backward Stochastic Differential Equations with Random Coefficients" @default.
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- W2997427571 doi "https://doi.org/10.48550/arxiv.1912.12439" @default.
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