Partially Observed Risk-Sensitive Stochastic Control Problems with Non-Convexity Restriction

The paper considers partially observed optimal control problems for risk-sensitive stochastic systems, where the control domain is non-convex and the diffusion term contains the control v . Utilizing Girsanov’s theorem, spike variational technique as well as duality method, the authors obtain four adjoint equations and establish a maximum principle under partial information. As an application, an example is presented to demonstrate the result.