Necessary and Suf cient Conditions of Optimality for Stochastic Integral Systems with Partial Information

摘要：

This paper is concerned with a partial information control problem in which the controlled system is described by a nonlinear stochastic Volterra integral equation.We give necessary as well as suf cient conditions in the form of maximum principle for optimal solutions of the foregoing problem respectively.To further explain the theoretical results,we study a linear quadratic problem with partial information and a dynamic advertising problem in the stochastic setting.

作者: WANG Tianxiao ZHU Qingfeng SHI Yufeng

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

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）