主题: A Partially Observable LQ Optimal Control Problem of FBSDEs主讲人: 王光臣教授地点: 松江校区图文中心第二报告厅时间: 2016-06-03 13:30:00组织单位: 东华大学青年学者协会 人才工作办公室 信息学院
报告摘要:
This talk is concerned with an LQ optimal control problemderived by FBSDEs under partial information. Combining a backward separationapproach with stochastic filtering, two optimality conditions and a feedbackoptimal control are derived. Closed-form optimal solutions are obtained in somedetailed cases. A recursive utility problem is explicitly solved by thetheoretical results obtained.