Special Session 160: Recent progress on stochastic analysis and stochastic control with applications
Recent progress on optimal control of partially observable forward-backward stochastic system
Guangchen Wang
Shandong University Peoples Rep of China
Co-Author(s):
Abstract:
This talk is concerned with recent progress on optimal control of forward-backward stochastic system, where the information available to controller is provided by noisy observation. A backward separation method is originally proposed and is used to establish a fundamental research framework for such a class of problems. The framework is also applicable to other important scenarios.