2020/12/15 by Guangchen Wang, Wang, Guangchen, Wencan Wang +3 · 2 citations
Economics, Econometrics and Finance · Social Sciences · #Climate Change Policy and Economics #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2012.08032
openalex publication_date 2020/12/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic maximum principle and a decoupling technique. By using the maximum principle, a stochastic Hamiltonian system, which is a forward-backward stochastic differential equation (FBSDE) with filtering, is obtained. By decoupling the stochastic Hamiltonian system, three Riccati equations, a BSDE with filtering, and a stochastic differential equation (SDE) with filtering are derived. We then get an optimal control with a feedback representation. An explicit formula for the corresponding optimal cost is also established. As illustrative examples, we consider two special scalar-valued control problems and give some numerical simulations.