标题:Maximum principle for partially observed optimal control of backward doubly stochastic systems
作者:Zhu, Qingfeng ;Wang, Tianxiao ;Shi, Yufeng
通讯作者:Zhu, Q
作者机构:[Zhu, Qingfeng ] School of Statistics and Mathematics, Shandong University of Finance, Jinan 250014, China;[Zhu, Qingfeng ;Wang, Tianxiao ;Shi, Yufeng 更多
会议名称:30th Chinese Control Conference, CCC 2011
会议日期:22 July 2011 through 24 July 2011
来源:Proceedings of the 30th Chinese Control Conference, CCC 2011
出版年:2011
页码:1383-1388
关键词:Adjoint equation; Backward doubly stochastic system; Maximum principle; Partially observed optimal control
摘要:The partially observed control problem is considered for backward doubly stochastic systems with control entering into the diffusion and the observation. The maximum principle is proved for the partially observable optimal control problem. A pure probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward doubly stochastic differential equations in finite-dimensional spaces. Most of the derivation is identified with that of the completely observable case. Then, our theoretical result is applied to study a partially-observed linear-quadratic optimal control problem for a backward doubly stochastic system. © 2011 Chinese Assoc of Automati.
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-s2.0-80053083058&partnerID=40&md5=164173a3ea55941fb1fe13e9113823ef
TOP