部分信息下时滞倒向重随机系统线性二次最优控制问题

Linear Quadratic Optimal Control of Delayed Backward Stochastic Systems under Partial Information

文章研究了一类含有时滞的部分信息下的倒向重随机系统线性二次最优控制问题,利用经典的凸变分技术和对偶方法讨论了当系统状态方程含有时滞变量时系统对应的最优控制的显示表达式,并利用经典的平行四边形法则证得最优控制的唯一性.

In this paper,we study the problem of the linear quadratic optimal control of delayed backward stochastic systems under partial information.Using the classical convex variational method and dual technique,we discuss the explicit expression of the optimal control corresponding to the system for the case when the state equation contains time delay.And the uniqueness of the optimal control is proved by using the classical parallelogram rule.