Maximum principle for decentralized stochastic differential decision systems
Ημερομηνία
2014Εκδότης
Institute of Electrical and Electronics Engineers Inc.Source
Proceedings of the IEEE Conference on Decision and ControlProceedings of the IEEE Conference on Decision and Control
Volume
2015-FebruaryPages
1846-1851Google Scholar check
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
In this paper we derive team and Person-by-Person (PbP) optimality conditions for Itô SDEs with nonclassical information structures. The optimality conditions are given in terms of a Hamiltonian System described by coupled backward and forward SDEs and conditional Hamiltonians, conditioned on the information structures, for regular (measurable functions) and relaxed strategies (conditional distributions). © 2014 IEEE.