In this paper, the authors first study two kinds of stochastic differential equations (SDEs)cesses, the authors proceed to study a stochastic linear quadratic (LQ) optimal control problem with One kind of new stochastic Riccati equation that involves equality and inequality constraints is derived from the idea of square completion and its solvability is proved to be sufficient for the well-posedness and the existence of optimal control which can be of either state feedback or open-loop form of the LQ problems. Moreover, the authors obtain the existence and uniqueness of the solution to the Riccati equation for some special cases. Finally, two examples are presented to illustrate these theoretical results.
展开▼
