A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information

作者：Meng QingXin

来源：Science in China Series A-Mathematics, 2009, 52(7): 1579-1588.

DOI：10.1007/s11425-009-0114-7

• maximum principle
• stochastic optimal control
• partial information

The paper is concerned with a stochastic optimal control problem in which the controlled system is described by a fully coupled nonlinear forward-backward stochastic differential equation driven by a Brownian motion. It is required that all admissible control processes are adapted to a given subfiltration of the filtration generated by the underlying Brownian motion. For this type of partial information control, one sufficient (a verification theorem) and one necessary conditions of optimality are proved. The control domain need to be convex and the forward diffusion coefficient of the system can contain the control variable.

• 出版日期2009-7
• 单位复旦大学