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Linear Quadratic Stochastic Optimal Control of Forward Backward Stochastic Control System Associated with Lévy Process

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  • Hong Huang
  • Xiangrong Wang
  • Ting Hou
  • Lu Xu

Abstract

This paper analyzes one kind of linear quadratic (LQ) stochastic control problem of forward backward stochastic control system associated with Lévy process. We obtain the explicit form of the optimal control, then prove it to be unique, and get the linear feedback regulator by introducing one kind of generalized Riccati equation. Finally, we discuss the solvability of the generalized Riccati equation, and its existence and uniqueness of the solutions are proved in a special case.

Suggested Citation

  • Hong Huang & Xiangrong Wang & Ting Hou & Lu Xu, 2017. "Linear Quadratic Stochastic Optimal Control of Forward Backward Stochastic Control System Associated with Lévy Process," Mathematical Problems in Engineering, Hindawi, vol. 2017, pages 1-11, September.
    • Handle: RePEc:hin:jnlmpe:2541687
    DOI: 10.1155/2017/2541687
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