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Weak Closed-loop Solvability of Linear Quadratic Stochastic Optimal Control Problems with Partial Information

Authors :
Li, Xun
Wang, Guangchen
Xiong, Jie
Zhang, Heng
Publication Year :
2024

Abstract

This paper investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochastic differential equation (BSDE), we solve this LQSOC problem under standard positive semidefinite assumptions. Secondly, by means of a perturbation approach, we study open-loop solvability of this problem when the weighting matrices in the cost functional are indefinite. Thirdly, we investigate weak closed-loop solvability of this problem and prove the equivalence between open-loop and weak closed-loop solvabilities. Finally, we give an example to illustrate the way for obtaining a weak closed-loop optimal strategy.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2409.16924
Document Type :
Working Paper