Maximum Principle for Partially Observed Optimal Control of Backward Doubly Stochastic Systems

摘要：

The partially observed control problem is considered for backward doubly stochastic systems with control entering into the diffusion and the observation.The maximum principle is proved for the partially observable optimal control problem.A pure probabilistic approach is used,and the adjoint processes are characterized as solutions of related forward doubly stochastic differential equations in nite-dimensional spaces.Most of the derivation is identi ed with that of the completely observable case.Then,our theoretical result is applied to study a partially-observed linear-quadratic optimal control problem for a backward doubly stochastic system.

作者: ZHU Qingfeng WANG Tianxiao SHI Yufeng

作者单位: School of Statistics and Mathematics,Shandong University of Finance,Jinan 250014,P.R.China School of School of Mathematics,Shandong University,Jinan 250100,P.R.China

会议类型: 国际会议

会议名称: The 30th Chinese Control Conference(第三十届中国控制会议)

会议地点: 烟台

会议语种:英文

页码: 1-6

在线出版日期: 2011-07-01（万方平台首次上网日期，不代表论文的发表时间）