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5. An LQ Optimal Control Problem of FBSDEs with Partial Information

An LQ Optimal Control Problem of FBSDEs with Partial Information

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：damson800413

【摘 要】

：

　　In this talk,we study an LQ optimal control problem derived by FBSDEs.A backward separation approach is introduced.Combining it with filtering,two optimalit

【作 者】

：

WangGuangchen; 

【机 构】

：

Shandong Univ.

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　In this talk,we study an LQ optimal control problem derived by FBSDEs.A backward separation approach is introduced.Combining it with filtering,two optimality conditions and a feedback optimal control are derived.Closed-form optimal solutions are obtained in some particular cases.

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