A stochastic maximum principle for a minimization problem under partial information
Author
Source
General Letters in Mathematics
Issue
Vol. 12, Issue 2 (30 Jun. 2022), pp.64-74, 11 p.
Publisher
Refaad Center for Studies and Research
Publication Date
2022-06-30
Country of Publication
Jordan
No. of Pages
11
Main Subjects
Abstract EN
In this paper, we establish a stochastic maximum principle for a stochastic minimization problem under partial information.
With the Backward stochastic differential equations (in short BSDE’s), we establish a sufficient condition of optimality to characterize and determine an optimal control.
This is done instead of using the Hamiltonian which is a deterministic function.
The equations translating the dynamics of the state variables of the controlled system contain an BSPDE (Backward stochastic partial differential equation) which can be the unnormalized conditional density like the Zakai equation born from a problem of passage from partial to full information.
American Psychological Association (APA)
Tatiagoum, Eric K.. 2022. A stochastic maximum principle for a minimization problem under partial information. General Letters in Mathematics،Vol. 12, no. 2, pp.64-74.
https://search.emarefa.net/detail/BIM-1437679
Modern Language Association (MLA)
Tatiagoum, Eric K.. A stochastic maximum principle for a minimization problem under partial information. General Letters in Mathematics Vol. 12, no. 2 (2022), pp.64-74.
https://search.emarefa.net/detail/BIM-1437679
American Medical Association (AMA)
Tatiagoum, Eric K.. A stochastic maximum principle for a minimization problem under partial information. General Letters in Mathematics. 2022. Vol. 12, no. 2, pp.64-74.
https://search.emarefa.net/detail/BIM-1437679
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 73-74
Record ID
BIM-1437679