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This paper is concerned with a kind of stochastic linear-quadratic Stackelberg differential game with overlapping information. Here the term “overlapping” means that the follower's and the leader's information have some joint part, while they have no inclusion relation. Optimal controls of the follower and the leader's are proved by the stochastic maximum principle, the direct calculation of the derivative...
This paper studies a linear-quadratic optimal control problem derived by forward-backward stochastic differential equations, where the drift coefficient of the observation equation is linear with respect to the state $x$, and the observation noise is correlated with the state noise, in the sense that the cross-variation of the state and the observation is nonzero. A backward separation approach is...
This paper addresses the problem of minimizing the long-run expected average cost of a complex system consisting of subsystems that interact with each other and the environment. We treat the stochastic control problem as a multiobjective optimization problem of the one-stage expected costs of the subsystems, and we show that the control policy yielding the Pareto optimal solution is an optimal control...
This paper is concerned with a class of linear-quadratic (LQ, for short) optimal control problems for backward stochastic differential equations (BSDEs, for short) with partial information. By virtue of stochastic filtering and the existence of forward-backward stochastic differential equations (FBSDEs, for short), the optimal solution is explicitly obtained.
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