标题：An Optimal Control Problem of Backward Stochastic Differential Equations with Partial Information
作者：Wang Guangchen; Xiao Hua
作者机构：[Wang Guangchen] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China.; [Wang Guangchen] Shandong Normal Univ, Sch Math Sci, Jinan 2 更多
会议名称：32nd Chinese Control Conference (CCC)
会议日期：JUL 26-28, 2013
来源：2013 32ND CHINESE CONTROL CONFERENCE (CCC)
关键词：Backward stochastic differential equation; filter; linear-quadratic; optimal control; partial information
摘要：This paper is concerned with an optimal control problem derived by backward stochastic differential equations. It is required that the control is adapted to a sub-filtration of the filtration generated by the underlying Brownian motion. A necessary condition is established by a direct calculation of the derivative of the cost functional. A linear-quadratic example is used to shed light on the application of the necessary condition.