A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation

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.

Keywords:

• Forward-backward stochastic differential equations
• Generalized expectation
• Stochastic linear quadratic optimal control

Mathematics Subject Classification:

• 93E20
• 49N10
• 60H10

This work is supported in part by the NSF Grant DMS-0604309.