标题：A partially observed optimal control problem for mean-field type forward-backward stochastic system
作者：Wang, Guangchen ;Wu, Zhen ;Zhang, Chenghui
作者机构：[Wang, Guangchen ;Zhang, Chenghui ] School of Control Science and Engineering, Jinan; 250061, China;[Wu, Zhen ] School of Mathematics, Shandong Univer 更多
会议名称：35th Chinese Control Conference, CCC 2016
会议日期：27 July 2016 through 29 July 2016
来源：Chinese Control Conference, CCC
关键词：Backward separation method; feedback optimal control; filtering; maximum principle; mean-field type forward-backward stochastic system
摘要：This paper studies an optimal control problem derived by mean-field type forward-backward stochastic system, whose novel features are as follows: (i) Both the state equation and the cost functional are of mean-field type; (ii) The observation depends on the control; (iii) The drift coefficient of the observation equation is linear with respect to the state x. These features result in intrinsic difficulties in solving the control problem. Using a backward separation method with a decomposition technique, these difficulties are overcome and a maximum principle for optimality is derived. An asset-liability management model with recursive utility is worked out and is explicitly solved by the maximum principle and the filtering of forward-backward stochastic system. © 2016 TCCT.