2018•International Journal of ControlRequires access

The maximum principle for partially observed optimal control problems of mean-field FBSDEs

Ruijing Li, Fengyun Fu

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Abstract

This paper is concerned with a partially observed optimal control problem described by mean-field forward and backward stochastic differential equations. Moreover, the control variable enters the diffusion coefficient and the control domain is non-convex. Utilising Girsanov's theorem as well as extended Ekeland's variational principle, a maximum principle is established in the form of Pontryagin's type. As an application, a linear-quadratic control problem is studied in terms of the stochastic filtering.

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What this paper is about

This paper is concerned with a partially observed optimal control problem described by mean-field forward and backward stochastic differential equations. Moreover, the control variable enters the diffusion coefficient and the control domain is non-convex. Utilising Girsanov's theorem as well as extended Ekeland's variational principle, a maximum principle is established in the form of Pontryagin's type. As an application, a linear-quadratic control problem is studied in terms of the stochastic filtering.

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OpenAlex reports 12 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

This paper is concerned with a partially observed optimal control problem described by mean-field forward and backward stochastic differential equations. Moreover, the control variable enters the diffusion coefficient and the control domain is non-convex. Utilising Girsanov's theorem as well as extended Ekeland's variational principle, a maximum principle is established in the form of Pontryagin's type. As an application, a linear-quadratic control problem is studied in terms of the stochastic filtering.

Key concepts: Maximum principle, Girsanov theorem, Mathematics, Optimal control, Stochastic control, Pontryagin's minimum principle, Variational principle, Stochastic differential equation

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