Maximum Principle for Partially-Observed Optimal Control of Fully-Coupled Forward-Backward Stochastic Systems

J. T. Shi () and Z. Wu ()
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J. T. Shi: Shandong University
Z. Wu: Shandong University

Journal of Optimization Theory and Applications, 2010, vol. 145, issue 3, No 9, 543-578

Abstract: Abstract This paper is concerned with partially-observed optimal control problems for fully-coupled forward-backward stochastic systems. The maximum principle is obtained on the assumption that the forward diffusion coefficient does not contain the control variable and the control domain is not necessarily convex. By a classical spike variational method and a filtering technique, the related adjoint processes are characterized as solutions to forward-backward stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied to study a partially-observed linear-quadratic optimal control problem for a fully-coupled forward-backward stochastic system and an explicit observable control variable is given.

Keywords: Fully-coupled forward-backward stochastic systems; Partially-observed optimal control; Maximum principle; Adjoint equations; Linear-quadratic control (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10957-010-9696-z

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