• DocumentCode
    1705751
  • 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
  • fYear
    2013
  • Firstpage
    1592
  • Lastpage
    1595
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference (CCC), 2013 32nd Chinese
  • Conference_Location
    Xi´an
  • Type

    conf

  • Filename
    6639681