标题:Partial information LQ optimal control of backward. stochastic differential equations
作者:Wang, Guangchen; Wu, Zhen; Xiong, Jie
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 更多
会议名称:10th World Congress on Intelligent Control and Automation (WCICA)
会议日期:JUL 06-08, 2012
来源:PROCEEDINGS OF THE 10TH WORLD CONGRESS ON INTELLIGENT CONTROL AND AUTOMATION (WCICA 2012)
出版年:2012
页码:1694-1697
关键词:LQ optimal control; BSDEs; stochastic filtering; Riccati equation
摘要:This paper is concerned with a class of linear quadratic (LQ, for short) optimal control problems for hack ward stochastic differential equations (BSDEs, for short) with partial information. By virtue of stochastic filtering and the existence of forward-backward stochastic differential equations (FBSDEs, for short), the optimal solution is explicitly obtained.
收录类别:CPCI-S
资源类型:会议论文
TOP