The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel’s martingales and an independent multi-dimensional Brownian motion,where Teugel’s martin- gales are a family of pairwise strongly orthonormal martingales associated with Lévy processes (see e.g.,Nualart and Schoutens’ paper in 2000).We derive the necessary and sufficient conditions for the existence of the op- timal control by means of convex variation methods and duality techniques.As an application,the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria (or backward linear-quadratic problem,or BLQ problem for short) is discussed and characterized by a stochastic Hamilton system.
TANG MaoNing 1 & ZHANG Qi 2,1 Department of Mathematical Sciences,Huzhou University,Huzhou 313000,China
An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered.The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.
In this paper,complete synchronization and generalized synchronization between two unidirectionally coupled optical systems with multiple time delays and noise perturbation are investigated.Sufficient conditions for both complete synchronization and generalized synchronization are rigorously established.Numerical simulations fully support the theoretical results.The effect of parameter mismatch on the quality of synchronization is also explored.
