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BDSDEs with Markov Chains and Applications in Markovian-Switching LQ Problems for Backward Doubly Stochastic System

机译：带马尔可夫链条的BDSDES和Markovian-Switching LQ问题的应用，用于后向双随机系统

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摘要

In this paper, we introduce a new type of BDSDEs with Markov Chains. We also consider the backward doubly stochastic systems with Markovian-Switching described by the BDSDEs with Markov Chains and obtain the unique optimal control for the stochastic switching LQ problems.

机译：在本文中，我们介绍了一种带马尔可夫链的新型BDSDES。我们还考虑带有Markov链条的BDSDES描述的带有Markovian开关的后向后随机系统，并获得随机开关LQ问题的独特最佳控制。

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《Chinese Control Conference》|2011年||共6页
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作者
TAO Ran; WU Zhen;
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中图分类 TP273-53;
关键词
BDSDEs; Markov Chain; Markovian Switching; Stochastic LQ problem;

机译：BDSDES;马尔可夫链;马尔可夫切换;随机LQ问题;

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1. The relaxed optimal control problem of forward-backward stochastic doubly systems with Poisson jumps and its application to LQ problem [J] . Adel Chala Random operators and stochastic equations . 2012,第3期

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2. MAXIMUM PRINCIPLE FOR FORWARD-BACKWARD DOUBLY STOCHASTIC CONTROL SYSTEMS AND APPLICATIONS [J] . Liangquan Zhang, Yufeng Shi ESAIM . 2011,第4期

机译：正反双随机控制系统的最大原理及应用
3. MAXIMUM PRINCIPLE FOR BACKWARD DOUBLY STOCHASTIC CONTROL SYSTEMS WITH APPLICATIONS [J] . Han YC, Peng SG, Wu Z SIAM Journal on Control and Optimization . 2010,第7a8期

机译：向后双随机控制系统的最大原理及其应用
4. BDSDEs with Markov Chains and applications in Markovian-Switching LQ problems for backward doubly stochastic system [C] . Tao Ran, Wu Zhen 2011 30th Chinese Control Conference . 2011

机译：带有马尔可夫链的BDSDE及其在向后双随机系统的马尔可夫开关LQ问题中的应用
5. Stochastic Dynamics: Markov Chains, Random Transformations and Applications [D] . Ye, Xiaofeng. 2018

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6. H∞ Estimation for Stochastic Time Delays in Networked Control Systems by Partly Unknown Transition Probabilities of Markovian Chains [O] . Chenyu Guo, Weidong Zhang -1

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7. Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System [O] . Tang, Huaibin, Wu, Zhen 2010

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8. A Property of Doubly Stochastic Markov Chains with Time Dependent Transition Matrix [R] . Brown, M. 1972

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BDSDEs with Markov Chains and Applications in Markovian-Switching LQ Problems for Backward Doubly Stochastic System

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