An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation (Q1678616): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q3378585 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4742671 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean Field Games and Mean Field Type Control Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear-quadratic mean field games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Well-posedness of mean-field type forward-backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general stochastic maximum principle for SDEs of mean-field type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-field backward stochastic differential equations: A limit approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Control of McKean-Vlasov dynamics versus mean field games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field games and systemic risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete time mean-field stochastic linear-quadratic optimal control problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal premium policy of an insurance firm: full and partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean field games / rank
 
Normal rank
Property / cites work
 
Property / cites work: A maximum principle for fully coupled stochastic control systems of mean-field type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4139359 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A mean-field stochastic maximum principle via Malliavin calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ruin problems with assets and liabilities of diffusion type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-Sensitive Mean-Field Games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations / rank
 
Normal rank

Latest revision as of 17:43, 14 July 2024

scientific article
Language Label Description Also known as
English
An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
scientific article

    Statements

    An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    17 November 2017
    0 references
    backward separation method
    0 references
    maximum principle
    0 references
    mean-field forward-backward stochastic differential equation
    0 references
    optimal filter
    0 references
    recursive utility
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references