# Partially observed optimal controls of forward-backward doubly stochastic systems

ESAIM: Control, Optimisation and Calculus of Variations (2013)

- Volume: 19, Issue: 3, page 828-843
- ISSN: 1292-8119

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topShi, Yufeng, and Zhu, Qingfeng. "Partially observed optimal controls of forward-backward doubly stochastic systems." ESAIM: Control, Optimisation and Calculus of Variations 19.3 (2013): 828-843. <http://eudml.org/doc/272923>.

@article{Shi2013,

abstract = {The partially observed optimal control problem is considered for forward-backward doubly stochastic systems with controls entering into the diffusion and the observation. The maximum principle is proven for the partially observable optimal control problems. A probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward-backward doubly stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied to study a partially-observed linear-quadratic optimal control problem for a fully coupled forward-backward doubly stochastic system.},

author = {Shi, Yufeng, Zhu, Qingfeng},

journal = {ESAIM: Control, Optimisation and Calculus of Variations},

keywords = {forward-backward doubly stochastic system; partially observed optimal control; maximum principle; adjoint equation; finite-dimensional spaces},

language = {eng},

number = {3},

pages = {828-843},

publisher = {EDP-Sciences},

title = {Partially observed optimal controls of forward-backward doubly stochastic systems},

url = {http://eudml.org/doc/272923},

volume = {19},

year = {2013},

}

TY - JOUR

AU - Shi, Yufeng

AU - Zhu, Qingfeng

TI - Partially observed optimal controls of forward-backward doubly stochastic systems

JO - ESAIM: Control, Optimisation and Calculus of Variations

PY - 2013

PB - EDP-Sciences

VL - 19

IS - 3

SP - 828

EP - 843

AB - The partially observed optimal control problem is considered for forward-backward doubly stochastic systems with controls entering into the diffusion and the observation. The maximum principle is proven for the partially observable optimal control problems. A probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward-backward doubly stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied to study a partially-observed linear-quadratic optimal control problem for a fully coupled forward-backward doubly stochastic system.

LA - eng

KW - forward-backward doubly stochastic system; partially observed optimal control; maximum principle; adjoint equation; finite-dimensional spaces

UR - http://eudml.org/doc/272923

ER -

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