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Backward Stochastic Control: Infinite Horizon Case

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  • Zhen Wu
  • Qixia Zhang

Abstract

The mixed control problem is studied for systems governed by infinite horizon backward stochastic differential equations (BSDEs) with exogenous disturbance signal. A necessary and sufficient condition for the existence of a unique solution to the control problem is derived. The equivalent feedback solution is also discussed. Contrary to deterministic or stochastic forward case, the feedback solution is no longer feedback of the current state; rather, it is feedback of the entire history of the state.

Suggested Citation

  • Zhen Wu & Qixia Zhang, 2014. "Backward Stochastic Control: Infinite Horizon Case," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-8, May.
    • Handle: RePEc:hin:jnlmpe:421687
    DOI: 10.1155/2014/421687
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