Maximum Principle for Partially Observed Optimal Control of Backward Doubly Stochastic Systems
会议名称：《第三十届中国控制会议》
会议日期：2011年
学科分类：0711[理学-系统科学] 07[理学] 08[工学] 081101[工学-控制理论与控制工程] 0811[工学-控制科学与工程] 071102[理学-系统分析与集成] 081103[工学-系统工程]
基 金：supported by National Natural Science Foundation of China(Grant No.10771122 and 11071145) Natural Science Foundation of Shandong Province of China(Grant Y2006A08) Foundation for Innovative Research Groups of the National Natural Science Foundation of China (Grant No.10921101) National Basic Research Program of China(973 Program,Grant No.2007CB814900) Independent Innovation Foundation of Shandong University(Grant 2010JQ010) Graduate Independent Innovation Foundation of Shandong University(GIIFSDU)
关 键 词：Backward doubly stochastic system Partially observed optimal control Maximum principle Adjoint equation
摘 要：正The partially observed control problem is considered for backward doubly stochastic systems with control entering into the diffusion and the *** maximum principle is proved for the partially observable optimal control problem.A pure probabilistic approach is used,and the adjoint processes are characterized as solutions of related forward doubly stochastic differential equations in finite-dimensional *** of the derivation is identified with that of the completely observable ***,our theoretical result is applied to study a partially-observed linear-quadratic optimal control problem for a backward doubly stochastic system.