Ran Qi-kang
Abstract
In this paper,we prove a sufficient and necessary condition of stochastic maximum principle for a stochastic optimal control problem with partial information,whose controlled system is a stochastic partial differential equation driven by a series of martingales and an independent Brownian motion.
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In this paper,we prove a sufficient and necessary condition of stochastic maximum principle for a stochastic optimal control problem with partial information,whose controlled system is a stochastic partial differential equation driven by a series of martingales and an independent Brownian motion.
Key concepts: Mathematics, Stochastic control, Stochastic differential equation, Brownian motion, Stochastic partial differential equation, Class (philosophy), Continuous-time stochastic process, Partial differential equation