A Linear Quadratic Stackelberg Game of Backward Stochastic Differential Equations with Partial Information

2020 ◽  
Author(s):  
Yueyang Zheng ◽  
Jingtao Shi
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Partial Information ◽  
Stackelberg Game ◽  
Backward Stochastic Differential Equations ◽  
Linear Quadratic

scholarly journals Delayed Stochastic Linear-Quadratic Control Problem and Related Applications

2012 ◽  
Vol 2012 ◽  
pp. 1-22 ◽  
Author(s):  
Li Chen ◽  
Zhen Wu ◽  
Zhiyong Yu
Keyword(s):  
Optimal Control ◽  
Differential Equations ◽  
Optimal Control Problem ◽  
Control Problem ◽  
Stochastic Differential Equations ◽  
Backward Stochastic Differential Equations ◽  
Delay System ◽  
Linear Quadratic ◽  
Stochastic Linear System ◽  
And Control

We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Itô’s stochastic delay equations as forward equations and anticipated backward stochastic differential equations as backward equations. Especially, we present the optimal feedback regulator for the time delay system via a new type of Riccati equations and also apply to a population optimal control problem.

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