Stochastic optimal linear quadratic controls with a recursive cost functional
Abstract
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $ L^1 $ whose well-posedness is a subtle issue. A suitable framework has been adopted so that the corresponding LQ problem is correctly formulated. Open-loop and closed-loop solvability of such an LQ problem have been investigated and characterized by the solvability of an FBSDE and that of Riccati differential equation.
Fields of Study & Subjects
Stochastic processes and financial applications
Stability and Controllability of Differential Equations
Nonlinear Differential Equations Analysis
Publication details
- Journal / source
- Evolution equations and control theory
- Volume
- 23
- Issue
- 0
- Pages
- 1–28
- Publication date
- 1 January 2026
- Language
- EN