Stochastic linear quadratic optimal control with partial information and its application to mean-variance hedging problems

@article{Guangchen2008StochasticLQ,
  title={Stochastic linear quadratic optimal control with partial information and its application to mean-variance hedging problems},
  author={Wang Guangchen and Wu Zhen},
  journal={2008 27th Chinese Control Conference},
  year={2008},
  pages={601-605}
}
This paper is concerned with a stochastic linear quadratic (LQ) optimal control with partial information where the control system is a non-Markov process. We solved this problem explicitly by completion of squares method. An optimal control is denoted by the corresponding optimal state equation, a Riccati differential equation and a backward stochastic… CONTINUE READING