Partial Information Near-Optimal Control of Forward-Backward Stochastic Differential System with Observation Noise

arXiv1708.03004MaRDI QIDQ6289957FDOQ6289957

Authors: Qingxin Meng, Qiu-Hong Shi, Mao-ning Tang 

Publication date: 9 August 2017

Abstract: This paper first makes an attempt to investigate the partial information near optimal control of systems governed by forward-backward stochastic differential equations with observation noise under the assumption of a convex control domain. By Ekeland's variational principle and some basic estimates for state processes and adjoint processes, we establish the necessary conditions for any $varepsilon$-near optimal control in a local form with an error order of exact $varepsilo{n}^{\mathrm{\%}frac12}.$ Moreover, under additional convexity conditions on Hamiltonian function, we prove that an $varepsilon$-maximum condition in terms of the Hamiltonian in the integral form is sufficient for near-optimality.

This page was built for publication: Partial Information Near-Optimal Control of Forward-Backward Stochastic Differential System with Observation Noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6289957)