TY - JOUR
T1 - A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
AU - Meng, QingXin
PY - 2009/7
Y1 - 2009/7
N2 - The paper is concerned with a stochastic optimal control problem in which the controlled system is described by a fully coupled nonlinear forward-backward stochastic differential equation driven by a Brownian motion. It is required that all admissible control processes are adapted to a given subfiltration of the filtration generated by the underlying Brownian motion. For this type of partial information control, one sufficient (a verification theorem) and one necessary conditions of optimality are proved. The control domain need to be convex and the forward diffusion coefficient of the system can contain the control variable.
AB - The paper is concerned with a stochastic optimal control problem in which the controlled system is described by a fully coupled nonlinear forward-backward stochastic differential equation driven by a Brownian motion. It is required that all admissible control processes are adapted to a given subfiltration of the filtration generated by the underlying Brownian motion. For this type of partial information control, one sufficient (a verification theorem) and one necessary conditions of optimality are proved. The control domain need to be convex and the forward diffusion coefficient of the system can contain the control variable.
KW - Maximum principle
KW - Partial information
KW - Stochastic optimal control
UR - http://www.scopus.com/inward/record.url?scp=71249093378&partnerID=8YFLogxK
U2 - 10.1007/s11425-009-0114-7
DO - 10.1007/s11425-009-0114-7
M3 - Article
AN - SCOPUS:71249093378
SN - 1006-9283
VL - 52
SP - 1579
EP - 1588
JO - Science in China, Series A: Mathematics
JF - Science in China, Series A: Mathematics
IS - 7
ER -