论文标题
最佳控制部分由布朗运动驱动的部分随机系统的最佳控制的全球最大原理
The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion
论文作者
论文摘要
在本文中，我们研究了由布朗尼运动和分数布朗尼运动驱动的部分（多维）随机系统的随机控制问题。在没有强大的Girsanov转换工具的情况下，我们介绍并研究了新的随机过程，这些过程用于将原始问题转化为“经典问题”。伴随的向后随机微分方程和最佳控制满足（最大原理）满足的必要条件。
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov transformation, we introduce and study new stochastic processes which are used to transform the original problem to a "classical one". The adjoint backward stochastic differential equations and the necessary condition satisfied by the optimal control (maximum principle) are obtained.
