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中文摘要：
在状态部分可观测信息背景下，深入研究随机最优控制理论及其在金融投资优化领域的应用。以经典滤波技术为核心，研究倒向随机微分方程解的滤波估计问题，进而讨论部分信息下权阵不定情形的线性二次随机最优控制问题、递归效用线性二次最优控制问题、递归效用优化问题的动态规划原理和最大值原理以及后两者之间的关系等，得到一批部分可观测信息下随机控制领域国际前沿、国内领先的应用基础理论成果，解决一批金融投资优化和衍生证券定价问题。
结论摘要：
英文主题词Stochastic optimal control; filtering; backward stochastic differential equation; maximum principle; linear quadratic optimal control
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期刊论文
Maximum Principle for Partially Observed Optimal Control of Fully Coupled Forward-backward Stochasti
Delay-dependent stability and H 1 control for uncertain discrete switched singular systems with time
The Quadratic-Form Identity for Constructing Hamiltonian Structures of The NLS–MKdV Hierarchy and Mu
Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamli
Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recur
Robust stability and H ∞ control for uncertain discrete Markovian jump singular systems with mode-de
Delay-dependent Stability and Stabilization of Uncertain Discrete-time Markovian Jump Singular Syste
Stochastic Optimization Theory of Backward Stochastic Differential Equations with Jumps and Viscosit
General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applic
Stochastic maximum principle for a kind of risk-sensitive optimal control problem and application to
The maximum principle for one kind of stochastic optimization problem and application in dynamic mea
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