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Partially Observed Risk-Sensitive Stochastic Control Problems with Non-Convexity Restriction

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Abstract

The paper considers partially observed optimal control problems for risk-sensitive stochastic systems, where the control domain is non-convex and the diffusion term contains the control v. Utilizing Girsanov’s theorem, spike variational technique as well as duality method, the authors obtain four adjoint equations and establish a maximum principle under partial information. As an application, an example is presented to demonstrate the result.

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Authors and Affiliations

  1. Hubei University of Technology, Wuhan, 430068, China

    He** Ma

  2. Guangdong University of Finance and Economics, Guangzhou, 510320, China

    Rui**g Li

Authors
  1. He** Ma
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  2. Rui**g Li
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Corresponding authors

Correspondence to He** Ma or Rui**g Li.

Additional information

This research was supported by the National Natural Foundation of China under Grant Nos. 11801154 and 11901112.

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Ma, H., Li, R. Partially Observed Risk-Sensitive Stochastic Control Problems with Non-Convexity Restriction. J Syst Sci Complex 36, 672–685 (2023). https://doi.org/10.1007/s11424-023-1089-0

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  • DOI: https://doi.org/10.1007/s11424-023-1089-0

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