Forward-backward linear quadratic stochastic optimal control problem with delay

摘要

This paper is concerned with one kind of forward-backward linear quadratic stochastic control problem whose system is described by a linear anticipated forward-backward stochastic differential delayed equation. The explicit form of the optimal control is derived. Optimal state feedback regulators are studied in two special cases. For the case with delay in just the control variable, the optimal state feedback regulator is obtained by the Riccati equation. For the other case with delay in just the state variable, the optimal state feedback regulator is analyzed by the value function approach.