一类部分信息的随机控制问题的极值原理(英文)  

A Maximum Principle for a Class of Stochastic Control Problems with Partial Information

作　　者：冉启康[1] 

机构地区：[1]上海财经大学应用数学系,上海200433

出　　处：《应用数学》2009年第2期421-429,共9页Mathematica Applicata

基　　金：Supported by the Academic Discipline Program,211 Project for Shanghai University of Finance and Economics(the 3rd phase);the Cultivation Fund of the Key Scientific and Technical Innovation Project,Ministry of Education of China (708040)

摘　　要：在本文中,我们证明了一类部分信息的随机控制问题的极值原理的一个充分条件和一个必要条件.其中,随机控制问题的控制系统是一个由鞅和Brown运动趋动的随机偏微分方程.In this paper,we prove a sufficient and necessary condition of stochastic maximum principle for a stochastic optimal control problem with partial information,whose controlled system is a stochastic partial differential equation driven by a series of martingales and an independent Brownian motion.

关 键 词：倒向随机偏微分方程 跳时间 随机最优控制问题 部分信息 

分 类 号：O211.63[理学—概率论与数理统计]