A maximum principle for partially observed optimal control of forward-backward stochastic control systems

DOI10.1007/s11432-010-4094-6zbMath1227.93116OpenAlexW1994179457MaRDI QIDQ543062

Zhen Wu

Publication date: 17 June 2011

Published in: Science China. Information Sciences (Search for Journal in Brave)

Full work available at URL: http://engine.scichina.com/doi/10.1007/s11432-010-4094-6

zbMATH Keywords

maximum principlelinear-quadratic optimal controlfilteringbackward stochastic differential equationadjoint equationpartial information

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Optimality conditions for problems involving randomness (49K45)

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