Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Delay and Noisy Memory

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• 英文论文题名：Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Delay and Noisy Memory
• 论文作者：Jinbiao Wu ; Wencan Wang ; Yi Peng
• 英文论文作者：Jinbiao Wu ; Wencan Wang ; Yi Peng ; School of Mathematics and Statistics ; Central South University ; Junior Education Department ; Changsha Normal University
• 年：2017
• 作者机构：School of Mathematics and Statistics,Central South University;Junior Education Department,Changsha Normal University;
• 英文论文关键词：Stochastic Optimal Control ; Forward-Backward Stochastic Systems ; Stochastic Maximum Principle ; Noisy Memory ; Malliavin Calculus
• 会议召开时间：2017-07-26
• 会议录名称：第36届中国控制会议论文集（B）
• 英文会议录名称：Proceedings of the 36th Chinese Control Conference（B）
• 语种：英文
• 分类号：O232
• 学会代码：KZLL
• 会议名称：第36届中国控制会议
• 会议地点：中国辽宁大连
• 主办单位：中国自动化学会控制理论专业委员会
• 学会名称：中国自动化学会控制理论专业委员会
• 页数：6
• 文件大小：168k
• 原文格式：D
• 会议级别：全国

摘要

We study the optimal control of fully coupled forward-backward stochastic systems with delay and noisy memory where the dynamics is governed by a controlled It?-Lévy process and the information available to the controller is possibly less than the overall information. Sufficient and necessary maximum principles for the optimal control of such systems are derived using Malliavin calculus techniques. As an illustration, we apply the result to an optimal consumption problem in a financial model with memory and partial information.
We study the optimal control of fully coupled forward-backward stochastic systems with delay and noisy memory where the dynamics is governed by a controlled It?-Lévy process and the information available to the controller is possibly less than the overall information. Sufficient and necessary maximum principles for the optimal control of such systems are derived using Malliavin calculus techniques. As an illustration, we apply the result to an optimal consumption problem in a financial model with memory and partial information.

引文

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