Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/5878
Title: | A maximum principle for partial information backward stochastic control problems with applications | Authors: | Huang, J Wang, G Xiong, J |
Issue Date: | 2009 | Source: | SIAM journal on control and optimization, 2009, v. 48, no. 4, p. 2106–2117 | Abstract: | This paper studies the partial information control problems of backward stochastic systems. There are three major contributions made in this paper: (i) First, we obtain a new stochastic maximum principle for partial information control problems. Our method relies on a direct calculation of the derivative of the cost functional. (ii) Second, we introduce two classes of partial information linear-quadratic backward control problems for the first time and then investigate them using the maximum principle. Complete and explicit solutions are obtained in terms of some forward and backward stochastic differential filtering equations. (iii) Last but not least, we study a class of full information stochastic pension fund optimization problems which can be viewed as a special case of our general partial information ones. Applying the aforementioned maximum principle, we derive the optimal contribution policy in closed-form and present some related economic remarks. | Keywords: | Backword stochastic differential equation Stochastic filtering Linear-quadratic control Maximum principle Partial information Pension fund |
Publisher: | Society for Industrial and Applied Mathematics | Journal: | SIAM Journal on control and optimization | ISSN: | 0363-0129 | EISSN: | 1095-7138 | DOI: | 10.1137/080738465 | Rights: | © 2009 Society for Industrial and Applied Mathematics |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Huang_Maximum_Principle_Stochastic.pdf | 185.7 kB | Adobe PDF | View/Open |
Page views
125
Last Week
3
3
Last month
Citations as of Apr 21, 2024
Downloads
361
Citations as of Apr 21, 2024
SCOPUSTM
Citations
78
Last Week
1
1
Last month
1
1
Citations as of Apr 26, 2024
WEB OF SCIENCETM
Citations
77
Last Week
0
0
Last month
3
3
Citations as of Apr 25, 2024
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.