Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type

摘要

This paper deals with a class of partially observed risk-sensitive optimal control. By virtue of Girsanov's theorem and the standard spike variational technique, we establish the maximum principle for the partially observed control problems. Moreover, the sufficient condition is also obtained for the special case by using some concavity conditions. As an application, a linear-quadratic system is presented to demonstrate our results. (C) 2016 European Control Association. Published by Elsevier Ltd. All rights reserved.