Title :
An optimal control problem of backward stochastic differential equations with partial information
Author :
Wang Guangchen ; Xiao Hua
Author_Institution :
Sch. of Control Sci. & Eng., Shandong Univ., Jinan, China
Abstract :
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.
Keywords :
differential equations; linear quadratic control; Brownian motion; backward stochastic differential equations; cost functional; linear-quadratic example; necessary condition; optimal control problem; partial information; sub-filtration; Differential equations; Educational institutions; Equations; Mathematical model; Optimal control; Optimization; Trajectory; Backward stochastic differential equation; filter; linear-quadratic optimal control; partial information;
Conference_Titel :
Control Conference (CCC), 2013 32nd Chinese
Conference_Location :
Xi´an