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 language | English |
|---|---|
| Article number | 62 |
| Number of pages | 34 |
| Journal | Applied Mathematics and Optimization |
| Volume | 91 |
| Issue number | 3 |
| Publication status | Published - Jun 2025 |
Keywords
- Open-loop solvability
- Weak closed-loop solvability
- Linear quadratic stochastic optimal control
- Partial information
- Riccati equation