Weak Closed-Loop Solvability of Linear Quadratic Stochastic Optimal Control Problems with Partial Information

Xun Li, Guangchen Wang, Jie Xiong, Heng Zhang (Corresponding Author)

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Abstract

This paper investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochastic differential equation (BSDE), we solve this LQSOC problem under standard positive semidefinite assumptions. Secondly, by means of a perturbation approach, we study open-loop solvability of this problem when the weighting matrices in the cost functional are indefinite. Thirdly, we investigate weak closed-loop solvability of this problem and prove the equivalence between open-loop and weak closed-loop solvabilities. Finally, we give an example to illustrate the way for obtaining a weak closed-loop optimal strategy.
Original languageEnglish
Article number62
Number of pages34
JournalApplied Mathematics and Optimization
Volume91
Issue number3
Publication statusPublished - Jun 2025

Keywords

  • Open-loop solvability
  • Weak closed-loop solvability
  • Linear quadratic stochastic optimal control
  • Partial information
  • Riccati equation

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