A stochastic maximum principle for a minimization problem under partial information

Author

Tatiagoum, Eric K.

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

Mathematics

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