IEEE Transactions on Automatic Control, Vol.60, No.1, 173-178, 2015
Optimal Control of Backward Doubly Stochastic Systems With Partial Information
This technical note is concerned with a class of partial information control problems for backward doubly stochastic systems. By the method of convex variation and duality technique, one sufficient condition (a verification theorem) and one necessary condition for optimality for this type of partial information controls are proved. Then, our theoretical results are applied to study a partial information linear quadratic (LQ) optimal control problem of a backward doubly stochastic system.
Keywords:Backward doubly stochastic differential equation;maximum principle;partial information;stochastic optimal control