Title :
Partial information LQ optimal control of backward stochastic differential equations
Author :
Wang, Guangchen ; Wu, Zhen ; Xiong, Jie
Author_Institution :
Sch. of Control Sci. & Eng., Shandong Univ., Jinan, China
Abstract :
This paper is concerned with a class of linear-quadratic (LQ, for short) optimal control problems for backward stochastic differential equations (BSDEs, for short) with partial information. By virtue of stochastic filtering and the existence of forward-backward stochastic differential equations (FBSDEs, for short), the optimal solution is explicitly obtained.
Keywords :
differential equations; linear quadratic control; stochastic systems; BSDE; LQ optimal control; backward stochastic differential equations; linear-quadratic optimal control; stochastic filtering; Differential equations; Educational institutions; Equations; Optimal control; Stochastic systems; BSDEs; LQ optimal control; Riccati equation; stochastic filtering;
Conference_Titel :
Intelligent Control and Automation (WCICA), 2012 10th World Congress on
Conference_Location :
Beijing
Print_ISBN :
978-1-4673-1397-1
DOI :
10.1109/WCICA.2012.6358150
