A maximum principle for partially observed optimal control of forward-backward stochastic control systems

作者：Wu Zhen^*

来源：Science China Information Sciences, 2010, 53(11): 2205-2214.

DOI：10.1007/s11432-010-4094-6

• maximum principle
• partial information
• adjoint equation
• backward stochastic differential equation
• filtering
• linear-quadratic optimal control

This paper studies an optimal control problem for partially observed forward-backward stochastic control system with a convex control domain and the forward diffusion term containing control variable. A maximum principle is proved for this kind of partially observable optimal control problems and the corresponding adjoint processes are characterized by the solutions of certain forward-backward stochastic differential equations in finite-dimensional spaces. One partially observed recursive linear-quadratic (LQ) optimal control example is also given to show the application of the obtained maximum principle. An explicit observable optimal control is obtained in this example.

• 出版日期2010-11
• 单位山东大学