Open AccessPartially-Observed Maximum Principle for Backward Stochastic Differential Delay Equations
Author(s) -
Shuang Wu
Publication year - 2017
Publication title -
ieee/caa journal of automatica sinica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.277
H-Index - 41
eISSN - 2329-9274
pISSN - 2329-9266
DOI - 10.1109/jas.2017.7510472
Subject(s) - computing and processing , communication, networking and broadcast technologies , general topics for engineers , robotics and control systems
Dear Editor, This letter investigates a partially-observed optimal control problem for backward stochastic differential delay equations (BSDDEs). By utilizing Girsanov's theory and convex variational method, we obtain a maximum principle on the assumption that the state equation contains time delay and the control domain is convex. The adjoint processes can be represented as the solutions of certain time-advanced stochastic differential equations in finite-dimensional spaces.