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math.OC2026
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional in Infinite Horizon
Lin Li, Jiongmin Yong
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedne…
math.OC2026
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
Lin Li, Jiongmin Yong
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in whose well-posedness is a su…