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An Introduction to Optimal Control of FBSDE with Incomplete Information pp 41–58Cite as

Optimal Control of Fully Coupled FBSDE with Partial Information

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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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Authors and Affiliations

  1. School of Control Science and Engineering, Shandong University, Jinan, China

    Guangchen Wang

  2. School of Mathematics, Shandong University, Jinan, China

    Zhen Wu

  3. Department of Mathematics, Southern University of Science and Technology, Shenzhen, China

    Jie Xiong

Authors
  1. Guangchen Wang
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  2. Zhen Wu
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  3. Jie Xiong
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Wang, G., Wu, Z., Xiong, J. (2018). Optimal Control of Fully Coupled FBSDE with Partial Information. In: An Introduction to Optimal Control of FBSDE with Incomplete Information. SpringerBriefs in Mathematics. Springer, Cham. https://doi.org/10.1007/978-3-319-79039-8_3

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