Optimal Control of Fully Coupled FBSDE with Partial Information

  • Guangchen Wang
  • Zhen Wu
  • Jie Xiong
Part of the SpringerBriefs in Mathematics book series (BRIEFSMATH)


In this chapter, we study an optimal control problem of fully coupled FBSDE with partial information, i.e., Problem A introduced in Section  1.2. Using the convex variation and the duality technique, we derive a stochastic maximum principle and two verification theorems for optimality of Problem A. As an application of the optimality conditions, we solve explicitly an LQ optimal control problem and a cash management problem.


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Copyright information

© The Author(s), under exclusive licence to Springer International Publishing AG, part of Springer Nature  2018

Authors and Affiliations

  • Guangchen Wang
    • 1
  • Zhen Wu
    • 2
  • Jie Xiong
    • 3
  1. 1.School of Control Science and EngineeringShandong UniversityJinanChina
  2. 2.School of MathematicsShandong UniversityJinanChina
  3. 3.Department of MathematicsSouthern University of Science and TechnologyShenzhenChina

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