应用数学2009，Vol.22Issue(2)：421-429,9.
一类部分信息的随机控制问题的极值原理
A Maximum Principle for a Class of Stochastic Control Problems with Partial Information
摘要
Abstract
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Key words
Backward stochastic partial differential equations(BSPDEs)/Jumping times/Stochastic optimal control problem/Partial information分类
数理科学引用本文复制引用
冉启康..一类部分信息的随机控制问题的极值原理[J].应用数学,2009,22(2):421-429,9.基金项目
Supported by the Academic Discipline Program,211 Project for Shanghai University of Finance and Economics (the 3rd phase) （the 3rd phase）
the Cultivation Fund of the Key Scientific and Technical Innovation Project,Ministry of Education of China (708040) （708040）
