Indefinite Stochastic Linear Quadratic Optimal Control Problems
Speaker:Prof. Zhiyong Yu
School of Mathematics
Shandong University
Date & Time:20 Feb 2013 (Wednesday) 16:00
Venue:U102
Organized by:Department of Mathematics

Abstract

In this talk, a new approach to study the indefinite stochastic linear quadratic (LQ) optimal control problems, which we called the “equivalent cost functional method”, is introduced. The new method is featured by its introduction of some equivalent cost functionals which enable us to establish a bridge between the indefinite and positive-definite stochastic LQ problems. With the help of such bridge, some solvability relation between the indefinite and positive-definite Hamiltonian systems or Riccati equations is further characterized. Consequently, the corresponding indefinite LQ problem is investigated for which the unique optimal control is derived in terms of open loop via the solution of Hamiltonian system, or in terms of state feedback via the solution of Riccati equation, respectively.

Biography

Prof. Zhiyong Yu is currently an Associate Professor of School of Mathematics of Shandong University, where he obtained his Ph.D. degree as well. Prof. Yu is interested in Stochastic Optimal Control, and Backward Stochastic Differential Equation. The publications of Prof. Yu include, Equivalent cost functionals and stochastic linear quadratic optimal control problems, Delayed stochastic linear-quadratic control problem and related applications, The stochastic maximum principle for optimal control problem of delay systems involving continuous and impulse controls, Backward stochastic viability and related properties on Z for BSDEs with applications, A partial information non-zero sum differential game of backward stochastic differential equations with applications etc.