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
Link To Document