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<p>In this paper, the authors consider a class of linear quadratic optimal control problems of backward stochastic differential equations under partial information with initial value constraint. The main contribution is to obtain an explicitly optimal controller by using a Riccati equation and an optimal parameter characterized by a matrix equation. The key technique is to introduce Lagrange multiplier to transform the problem with initial value constraint into unconstrained optimal control problem and optimal parameter calculation problem, and solve the optimal parameter calculation by using the exact controllability of the system.</p>

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LQ Optimal Control of BSDE with Initial Value Constraint Under Partial Information

  • 期刊论文

  • 发表日期：

    2025年8月6日

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  • Jiaye Yao,
  • Jingmei Liu,
  • Juanjuan Xu

摘要

In this paper, the authors consider a class of linear quadratic optimal control problems of backward stochastic differential equations under partial information with initial value constraint. The main contribution is to obtain an explicitly optimal controller by using a Riccati equation and an optimal parameter characterized by a matrix equation. The key technique is to introduce Lagrange multiplier to transform the problem with initial value constraint into unconstrained optimal control problem and optimal parameter calculation problem, and solve the optimal parameter calculation by using the exact controllability of the system.