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Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs

Hu acknowledges research supported by Lebesgue center of mathematics "Investissements d'avenir" program-ANR-11-LABX-0020-01, by CAESARS-ANR-15-CE05-0024 and by MFG-ANR-16-CE40-0015-01. Tang acknowledges research supported by National Science Foundation of China (Grant No. 11631004) and Science and Technology Commission of Shanghai Municipality (Grant No. 14XD1400400).
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  • In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other can choose adapted random processes, called the random controller. The optimal control is shown to exist under suitable assumptions. The optimal control is characterized via a system of fully coupled forward-backward stochastic differential equations (FBSDEs) of mean-field type. We solve the FBSDEs via solutions of two (but decoupled) Riccati equations, and give the respective optimal feedback law for both deterministic and random controllers, using solutions of both Riccati equations. The optimal state satisfies a linear stochastic differential equation (SDE) of mean-field type. Both the singular and infinite time-horizonal cases are also addressed.
    Mathematics Subject Classification: 93E20.

    Citation:

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