A general maximum principle for partially observed stochastic evolution control systems
Abstract
In this paper, we study an optimal control problem of partially observed stochastic evolution equation control system. The observation process is an infinite-dimensional stochastic process, and the control variable is allowed to enter the diffusion term of the state process and the drift term of the observation process. The control domain need not be convex. Combined with Girsanov theorem, we establish the related stochastic maximum principle in the sense of transposition solution.
Fields of Study & Subjects
Stability and Control of Uncertain Systems
Stochastic processes and financial applications
Stability and Controllability of Differential Equations
Publication details
- Journal / source
- ESAIM Control Optimisation and Calculus of Variations
- Volume
- 32
- Pages
- 15–15
- Publication date
- 1 January 2026