唐雷
（山东科技大学，山东 青岛 266590）
【摘要】研究了一类特殊的线性正倒向随机控制系统的最优控制问题，通过运用最大值原理来解决所给出的线性二次随机最优控制问题，从而获得线性二次指标泛函下的控制的显示形式，并验证了控制的显示表达式是最优控制并且唯一。
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关键词 线性二次正倒向随机控制系统；随机最优控制；随机最大值原理
One kind of Linear Quadratic Forward-Backward Stochastic Optimal Control Problem
TANG Lei
(Shandong University of sciense and Technology, Qingdao Shandong 266590, China)
【Abstract】We study one kind of linear quadratic forward-backward stochastic optimal problems,and get the explicit accurate form of the optimal control for the linear quadratic stochastic optimal problem by stochastic maximum principle.Finally,we proved that the control is the optimal control and the unique.
【Key words】Linear quadratic stochastic control system; Optimal control; Stochastic maximum principle
0引言
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参考文献
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［责任编辑：汤静］