Characterization of optimal feedback for stochastic linear quadratic control problems
报 告 人:: 张旭
报告地点:: 数学与统计学院615室
报告时间:: 2017年11月14日星期二16:00-17:00

One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the study of deterministic linear quadratic control problems is exactly to construct the desired feedbacks. To date, the same problem in the stochastic setting is only partially well-understood. In this work, we establish the equivalence between the existence of optimal feedback controls for the stochastic linear quadratic control problems with random coefficients and the solvability of the corresponding backward stochastic Riccati equations in a suitable sense. We also give a counterexample showing the nonexistence of feedback controls to a solvable stochastic linear quadratic control problem. This is a new phenomenon in the stochastic setting, significantly different from its deterministic counterpart. (Jointly with Qi Lü and Tianxiao Wang)


发 布 人:科研助理 发布时间: 2017-11-13