Maximum principle for decentralized stochastic differential decision systems
AuthorCharalambous, Charalambos D.
Ahmed, N. U.
PublisherInstitute of Electrical and Electronics Engineers Inc.
SourceProceedings of the IEEE Conference on Decision and Control
Proceedings of the IEEE Conference on Decision and Control
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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.