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
出版年:2016
卷:2016-August
页码:1781-1786
DOI:10.1109/ChiCC.2016.7553351
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.
收录类别:EI;SCOPUS
Scopus被引频次:1
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84987916858&doi=10.1109%2fChiCC.2016.7553351&partnerID=40&md5=f89f4112075e831d642d12a4956b225f
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