Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems

Journal of Optimization Theory and Applications

Volumn 145, Issue 3, 2010, Pages 543-578

  Shi, J T ^a   Wu, Z ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Adjoint equations; Fully coupled forward backward stochastic systems; Linear quadratic control; Maximum principle; Partially observed optimal control

Indexed keywords

LINEAR CONTROL SYSTEMS; MAXIMUM PRINCIPLE; OPTIMAL CONTROL SYSTEMS; QUADRATIC PROGRAMMING; STOCHASTIC CONTROL SYSTEMS;

ADJOINT EQUATIONS; CONTROL DOMAINS; CONTROL VARIABLE; FULLY-COUPLED; FULLY-COUPLED FORWARD-BACKWARD STOCHASTIC SYSTEM; LINEAR-QUADRATIC CONTROLS; OPTIMAL CONTROL PROBLEM; OPTIMAL CONTROLS; PARTIALLY-OBSERVED OPTIMAL CONTROL; VARIATIONAL METHODS;

STOCHASTIC SYSTEMS;

EID: 77952008765     PISSN: 00223239     EISSN: 15732878     Source Type: Journal    
DOI: 10.1007/s10957-010-9696-z     Document Type: Article

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