【摘 要】
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In this paper,we investigate a kind of partial information linear-quadratic optimal control problem driven by a backward stochastic differential equation,where
【机 构】
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School of Control Science and Engineering, Shandong University, Jinan 250061, China
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In this paper,we investigate a kind of partial information linear-quadratic optimal control problem driven by a backward stochastic differential equation,where the state equation and the cost functional contain diffusion terms.Using maximum principle,we derive the corresponding Hamiltonian system,which is a conditional mean-field forward-backward stochastic differential equation.By the backward separation approach and the filtering technique,we get two Riccati equations,and a backward and a forward optimal filtering equations.Then a feedback form of optimal control is obtained.We also extend the control problem to the case of mean-field backward stochastic differential equation under partial information.A corresponding feedback form of optimal control is also obtained.
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