Linear quadratic control of backward stochastic differential equation with partial information

作者：

Highlights：

• A linear quadratic problem of BSDE under partial information is solved completely.

• A different decoupling technique is used to solve stochastic Hamiltonian system.

• A feedback representation of optimal control is obtained.

• An explicit formula of optimal cost is established.

• A solvability of BSDE with filtering is first studied.

摘要

•A linear quadratic problem of BSDE under partial information is solved completely.•A different decoupling technique is used to solve stochastic Hamiltonian system.•A feedback representation of optimal control is obtained.•An explicit formula of optimal cost is established.•A solvability of BSDE with filtering is first studied.

论文关键词：Linear quadratic optimal control,Backward stochastic differential equation,Filtering,Ricatti equation,Feedback representation

论文评审过程：Received 23 October 2020, Revised 27 January 2021, Accepted 6 March 2021, Available online 26 March 2021, Version of Record 26 March 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126164