Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
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arXiv
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| Format: | Preprint |
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2026
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| _version_ | 1866918313403088896 |
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| author | Li, Lin Yong, Jiongmin |
| author_facet | Li, Lin Yong, Jiongmin |
| contents | This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that the corresponding LQ problem is correctly formulated. Open-loop and closed-loop solvability of such an LQ problem have been investigated and characterized by the solvability of an FBSDE and that of Riccati differential equation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_21748 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional Li, Lin Yong, Jiongmin Optimization and Control 93E20, 49N10, 60H10 This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that the corresponding LQ problem is correctly formulated. Open-loop and closed-loop solvability of such an LQ problem have been investigated and characterized by the solvability of an FBSDE and that of Riccati differential equation. |
| title | Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional |
| topic | Optimization and Control 93E20, 49N10, 60H10 |
| url | https://arxiv.org/abs/2601.21748 |