Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems

DOI10.1007/s10957-010-9696-zzbMath1209.49034OpenAlexW2044457579MaRDI QIDQ983721

Jing-Tao Shi, Zhen Wu

Publication date: 24 July 2010

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-010-9696-z

zbMATH Keywords

maximum principlelinear-quadratic controladjoint equationsfully-coupled forward-backward stochastic systemspartially-observed optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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