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

fYear

2012

fDate

6-8 July 2012

Firstpage

1694

Lastpage

1697

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Control and Automation (WCICA), 2012 10th World Congress on

Conference_Location

Beijing

Print_ISBN

978-1-4673-1397-1

Type

conf

DOI

10.1109/WCICA.2012.6358150

Filename

6358150

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=577704