The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion (Q1743669): Difference between revisions

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English	The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion	scientific article

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scholarly article

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title

The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion (English)

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Journal of Dynamical and Control Systems

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publication date

13 April 2018

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zbMATH Keywords

forward-backward stochastic differential equation

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optimal control

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maximum principle

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partially observed optimal control

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Teugels martingale

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Lévy process

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10883-017-9377-4

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cites work

Backward-forward stochastic differential equations

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BSDE associated with Lévy processes and application to PDIE

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Optimality conditions for partial information stochastic control problems driven by Lévy processes

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Optimal variational principle for backward stochastic control systems associated with Lévy processes

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Q4344073

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Backward Stochastic Differential Equations in Finance

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Qualitative flow visualization using colored lights and reflective flakes

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Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes

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A stochastic linear-quadratic problem with Lévy processes and its application to finance

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Chaotic and predictable representations for Lévy processes.

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Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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Adapted solution of a backward stochastic differential equation

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Backward stochastic differential equations and applications to optimal control

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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Q3996259

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Stochastic processes and orthogonal polynomials

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A maximum principle for partially observed optimal control of forward-backward stochastic control systems

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The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps

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Identifiers

zbMATH Open document ID

1390.93860

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DOI

10.1007/s10883-017-9377-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1743669

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10883-017-9377-4
+Normal rank
@@ Property / OpenAlex ID @@
+W2755624257
@@ Property / OpenAlex ID: W2755624257 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+BSDE associated with Lévy processes and application to PDIE
+Normal rank
@@ Property / cites work @@
+Optimality conditions for partial information stochastic control problems driven by Lévy processes
+Normal rank
@@ Property / cites work @@
+Optimal variational principle for backward stochastic control systems associated with Lévy processes
+Normal rank
@@ Property / cites work @@
+Q4344073
@@ Property / cites work: Q4344073 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Qualitative flow visualization using colored lights and reflective flakes
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions for optimal control of stochastic systems associated with Lévy processes
+Normal rank
@@ Property / cites work @@
+A stochastic linear-quadratic problem with Lévy processes and its application to finance
+Normal rank
@@ Property / cites work @@
+Chaotic and predictable representations for Lévy processes.
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic processes and orthogonal polynomials
@@ Property / cites work: Stochastic processes and orthogonal polynomials / rank @@
+Normal rank
@@ Property / cites work @@
+A maximum principle for partially observed optimal control of forward-backward stochastic control systems
+Normal rank
@@ Property / cites work @@
+The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps
+Normal rank