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Probability Seminar

Monday, 24 March, 2014

SPEAKER:  Prof. Guangchen Wang, School of Control Science and Engineering, Shandong University          

TITLE: A Linear-Quadratic Optimal Control Problem of Forward-Backward 

ABSTRACT:  In this talk, we will discuss a linear-quadratic optimal control problem derived by forward-backward stochastic differential equations, where drift coefficient of observation equation is linear with respect to state, and observation noise is correlated with state noise. A backward separation approach is introduced. Combining it with variational method and stochastic filtering, two optimality conditions and a feedback representation of optimal control are derived. Closed-form optimal solutions are obtained in some particular cases. As an application of the optimality conditions, a generalized recursive utility problem from financial markets is solved explicitly. This talk is based on a joint work with Prof. Zhen WU (Shandong University, China) and Prof.  Jie XIONG (University of Tennessee, USA)


Ayres Hall
Room 124
1403 Circle Drive
Knoxville, TN 37996

Event Contact

Betty Morgan

Phone: 974-2463

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