A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation

Authors

Authors

J. M. Yong

Comments

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Abbreviated Journal Title

Stoch. Anal. Appl.

Keywords

Forward-backward stochastic differential equations; Generalized; expectation; Stochastic linear quadratic optimal control; DIFFERENTIAL-EQUATIONS; UTILITY; CONSTRAINTS; CONSUMPTION; AMBIGUITY; RISK; Mathematics, Applied; Statistics & Probability

Abstract

In this article, we initiate a study on optimal control problem for linear stochastic differential equations with quadratic cost functionals under generalized expectation via backward stochastic differential equations.

Journal Title

Stochastic Analysis and Applications

Volume

26

Issue/Number

6

Publication Date

1-1-2008

Document Type

Article

DOI Link

http://dx.doi.org/10.1080/07362990802286533

Language

English

First Page

1136

Last Page

1160

WOS Identifier

WOS:000260497800002

ISSN

0736-2994

Recommended Citation

"A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation" (2008). Faculty Bibliography 2000s. 1181.
https://stars.library.ucf.edu/facultybib2000/1181