Back to Search
Start Over
The second-order maximum principle for partially observed optimal controls.
- Source :
- Mathematical Control & Related Fields; Mar2024, Vol. 14 Issue 1, p1-33, 33p
- Publication Year :
- 2024
-
Abstract
- In this paper, the stochastic control system under partial observation for singular optimal controls in the classical sense is studied. Note that both the system and the observation contain noise, in which the control variable is allowed to enter into all the coefficient terms. By adding some regularity assumptions, the pointwise second-order maximum principle under partial observation can be obtained by Malliavin calculus. Eventually, an example is given to demonstrate how to find the optimal control. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 21568472
- Volume :
- 14
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Mathematical Control & Related Fields
- Publication Type :
- Academic Journal
- Accession number :
- 176359291
- Full Text :
- https://doi.org/10.3934/mcrf.2022059