Backward Stochastic Linear Quadratic Optimal Control with Expectational Equality Constraint

Backward Stochastic Linear Quadratic Optimal Control with Expectational Equality Constraint

This paper investigates a backward stochastic linear quadratic control problem with an expected-type equality constraint on the initial state. By using the Lagrange multiplier method, the problem with a uniformly convex cost functional is first transformed into an equivalent unconstrained parameteri...

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Bibliographic Details
Main Authors: Yanrong Lu, Jize Li, Yonghui Zhou
Format: Article
Language:English
Published: MDPI AG 2025-04-01
Series:Mathematics
Subjects:
backward stochastic optimal control
expectation equality constraint
maximum principle
Riccati equation
Lagrange duality theory
Online Access:https://www.mdpi.com/2227-7390/13/8/1327
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