Abstract.
This paper is concerned with the stochastic linear quadratic optimal control problem (LQ problem, for short) for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. Some intrinsic relations among the LQ problem, the stochastic maximum principle, and the (linear) forward—backward stochastic differential equations are established. Some results involving Riccati equation are discussed as well.
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Accepted 15 May 2000. Online publication 1 December 2000
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Chen, S., Yong, J. Stochastic Linear Quadratic Optimal Control Problems. Appl Math Optim 43, 21–45 (2001). https://doi.org/10.1007/s002450010016
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DOI: https://doi.org/10.1007/s002450010016