A Partially Observable LQ Optimal Control Problem of FBSDEs

主题:   A Partially Observable LQ Optimal Control Problem of FBSDEs主讲人:   王光臣教授地点:   松江校区图文中心第二报告厅时间:   2016-06-03 13:30:00组织单位:   亿万先生mr01官网青年学者协会 人才工作办公室 信息学院

报告摘要:

This talk is concerned with an LQ optimal control problemderived by FBSDEs under partial information. Combining a backward separationapproach with stochastic filtering, two optimality conditions and a feedbackoptimal control are derived. Closed-form optimal solutions are obtained in somedetailed cases. A recursive utility problem is explicitly solved by thetheoretical results obtained.




撰写:陆未谷信息员:陆未谷编辑:段然