JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2021, Vol. 56 ›› Issue (10): 1-10.doi: 10.6040/j.issn.1671-9352.9.2021.012

   

Maximum principle for optimal control of forward-backward stochastic system: full information and partial information

WU Zhen1*, WANG Guang-chen2, LI Min1   

  1. 1. School of Mathematics, Shandong University, Jinan 250100, Shandong, China;
    2. School of Control Science and Engineering, Shandong University, Jinan 250061, Shandong, China
  • Published:2021-09-28

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Abstract: This paper reviews some progresses on forward-backward stochastic control system. In the past 30 years, various theories and applications of forward-backward stochastic control system have been developed rapidly and a large number of original scientific research results have been obtained, which have attracted many international peers to follow-up research. Limited to the length of this paper and the authors emphasis, this paper only focuses on maximum principle for optimal control of forward-backward stochastic system, and summarizes its latest research progress and application in solving linear quadratic optimal control problem.

Key words: forward-backward stochastic system, general maximum principle, optimal filtering, backward separation approach, linear-quadratic control

CLC Number: 

  • O211
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