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摘要
This paper is concerned with a mean-field type optimal control problem, whose new features are that the state x(t)(u) is partially observed by a noisy process y(t), and the control problem is time inconsistent in the sense that Bellman optimality principle does not work. A necessary condition for optimality is derived by convex variation, dual technique and backward stochastic differential equations (BSDEs). A linear-quadratic (LQ) optimal control example is studied, and the optimal solution is obtained by the optimal filtering for BSDEs and the necessary condition.
- 出版日期2016-10
- 单位山东交通学院
