Stochastic Maximum Principle for Partially Observed Optimal Control Problems of General McKean–Vlasov Differential Equations

The paper studies partially observed optimal control problems of general McKean–Vlasov differential equations, in which the coefficients depend on the state of the solution process as well as of its law and the control variable. By applying Girsanov’s theorem with a standard variational technique, we establish a stochastic maximum principle on the assumption that the control domain is convex. As an application, partially observed linear-quadratic control problem is discussed.