标题:An Optimal Control Problem of Backward Stochastic Differential Equations with Partial Information
作者:Wang Guangchen; Xiao Hua
通讯作者:Wang, GC
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)
出版年:2013
页码:1592-1595
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.
收录类别:CPCI-S
资源类型:会议论文
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