吉林大学学报（理学版）2017，Vol.55Issue(3)：613-616,4.DOI:10.13413/j.cnki.jdxblxb.2017.03.26
一类随机Riccati方程解的存在性
Existence of Solution for a Class of Stochastic Riccati Equations
摘要
Abstract
We considered the existence condition of solution for a class of stochastic Riccati equation. Based on the characteristics of the stochastic Riccati equation,we constructed a backward stochastic differential equation without constraints by using It? formula.The solution of backward stochastic differential equations satisfied the algebraic constraints corresponding stochastic Riccati equation during the construction.Thus we gave the existence condition of the solution of the stochastic Riccati equation by using the relation of them.关键词
随机Riccati方程/限制条件/倒向随机微分方程/随机线性二次最优控制Key words
stochastic Riccati equation/constraint condition/backward stochastic differential equation/stochastic linear quadratic optimal control分类
数理科学引用本文复制引用
许洁,吕显瑞..一类随机Riccati方程解的存在性[J].吉林大学学报（理学版）,2017,55(3):613-616,4.基金项目
国家自然科学基金(批准号:11371169)、中国汽车产业创新发展联合基金(批准号:U1564213)和大庆师范学院博士启动基金(批准号:12zr09). （批准号:11371169）
