LQ Optimal Control Models with Incomplete Information

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

Abstract

In this chapter, we consider the so-called LQ problem with incomplete information aiming at obtaining more explicit results comparing with those of the previous chapters. We first consider this problem when the state is given by a linear FBSDE. After that we will specialize our results to the case when the state is governed by a BSDE only. In this case, explicit solution will be presented. Finally, we will apply our results to an optimal premium 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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