Linear-quadratic optimal control problems of state delay systems under full and partial information (Q6174046)

The authors of this paper study stochastic linear-quadratic optimal control problems of state delay systems under full and partial information. When the full information is available, they study both discrete and distributed delays in the control system. They first characterize the optimal control by Hamiltonian system which consists of distributed delayed SDE and distributed anticipated BSDE. Then they obtain an optimal feedback control by the dynamic programming method. Then they study partially observed problem with state delay and get the optimal control by backward separation method and optimal filtering with delay. Unlike the system with full information, when only partial information is available, they find the optimal feedback control in a particular case.