GENERAL NECESSARY CONDITIONS FOR PARTIALLY OBSERVED OPTIMAL STOCHASTIC CONTROLS

Authors
LI XJ TANG SJ
Citation
Xj. Li et Sj. Tang, GENERAL NECESSARY CONDITIONS FOR PARTIALLY OBSERVED OPTIMAL STOCHASTIC CONTROLS, Journal of Applied Probability, 32(4), 1995, pp. 1118-1137
Citations number
7
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
32
Issue
4
Year of publication
1995
Pages
1118 - 1137
Database
ISI
SICI code
0021-9002(1995)32:4<1118:GNCFPO>2.0.ZU;2-I
Abstract
The partially observed control problem is considered for stochastic pr ocesses with control entering into the diffusion and the observation. The maximum principle is proved for the partially observable optimal c ontrol. A pure probabilistic approach is used, and the adjoint process es are characterized as solutions of related backward stochastic diffe rential equations in finite-dimensional spaces. Most of the derivation is identified with that of the completely observable case.