Related Articles ( Stochastic maximum principle, Backward stochastic differential equation, Stochastic partial differential equation, Hamiltonian, partial information, minimization problem, Zakai equation )
A Stochastic Maximum Principle for a Minimization Problem Under Partial Information
In this paper, we establish a stochastic maximum principle for a stochastic minimization problem under partial information. With the Backward stochastic differential equations (in short BSDE’s), we establish a sufficient condition of optimality to characterize and determine an optimal control. ...