Optimal Control of Fully Coupled FBSDE with Partial Information

  • Guangchen Wang
  • Zhen Wu
  • Jie Xiong
Chapter
Part of the SpringerBriefs in Mathematics book series (BRIEFSMATH)

Abstract

In this chapter, we study an optimal control problem of fully coupled FBSDE with partial information, i.e., Problem A introduced in Section  1.2. Using the convex variation and the duality technique, we derive a stochastic maximum principle and two verification theorems for optimality of Problem A. As an application of the optimality conditions, we solve explicitly an LQ optimal control problem and a cash management problem.

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Copyright information

© The Author(s), under exclusive licence to Springer International Publishing AG, part of Springer Nature  2018

Authors and Affiliations

  • Guangchen Wang
    • 1
  • Zhen Wu
    • 2
  • Jie Xiong
    • 3
  1. 1.School of Control Science and EngineeringShandong UniversityJinanChina
  2. 2.School of MathematicsShandong UniversityJinanChina
  3. 3.Department of MathematicsSouthern University of Science and TechnologyShenzhenChina

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