Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem

摘要

In this paper,we use the solutions of forward-backward stochastic differ- ential equations to get the optimal control for backward stochastic linear quadratic optimal control problem.And we also give the linear feedback regulator for the op- timal control problem by using the solutions of a group of Riccati equations.