论文标题
延迟的部分观察到的随机控制系统的随机最大原理
A stochastic maximum principle for partially observed stochastic control systems with delay
论文作者
论文摘要
本文处理了由随机微分方程延迟控制的国家的部分最佳控制问题。我们使用各种方法和过滤技术为这种最佳控制问题开发了随机最大原理。同样，我们建立了足够的条件，而无需假设凹度。在论文中建立了两个示例，阐明了理论结果。特别是，在延迟的最佳投资问题的示例中，其数值模拟通过离散化技术延迟的效果，用于带有延迟和预期项的前向后随机微分方程（FBSDE）。
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational method and a filtering technique. Also, we establish a sufficient condition without assumption of the concavity. Two examples shed light on the theoretical results are established in the paper. In particular, in the example of an optimal investment problem with delay, its numerical simulation shows the effect of delay via a discretization technique for forward-backward stochastic differential equations (FBSDEs) with delay and anticipate terms.
