General Letters in Mathematics

Related Articles ( Stochastic maximum principle, Backward stochastic differential equation, Stochastic partial differential equation, Hamiltonian, partial information, minimization problem, Zakai equation )

A Stochastic Maximum Principle for a Minimization Problem Under Partial Information

Eric.K Tatiagoum

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. ...

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