Partially-Observed Maximum Principle for Backward Stochastic Differential Delay Equations

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 d...

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Bibliographic Details
Published inIEEE/CAA journal of automatica sinica Vol. 11; no. 6; pp. 1524 - 1526
Main Author Wu, Shuang
Format Journal Article
LanguageEnglish
Published Piscataway Chinese Association of Automation (CAA) 01.06.2024
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Department of Applied Mathematics,China University of Petroleum,Qingdao 266580,China
Subjects
Aerospace electronics
Delay effects
Delays
Differential equations
Equations of state
Maximum principle
Optimal control
Process control
Time lag
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Summary: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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:2329-9266
2329-9274
DOI:10.1109/JAS.2017.7510472