General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance (Q1035875): Difference between revisions

@@ Property / DOI @@
-.1007/s10957-008-9484-1
@@ Property / DOI: 10.1007/s10957-008-9484-1 / rank @@
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@@ Property / author @@
-Guangchen Wang
@@ Property / author: Guangchen Wang / rank @@
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@@ Property / author @@
+Guangchen Wang
@@ Property / author: Guangchen Wang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10957-008-9484-1
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+W2063539226
@@ Property / OpenAlex ID: W2063539226 / rank @@
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@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
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@@ Property / cites work @@
+Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
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+Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions
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+Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
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+Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
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+The Maximum Principle for Optimal Control of Diffusions with Partial Information
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+The Partially Observed Stochastic Minimum Principle
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+On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
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+General necessary conditions for partially observed optimal stochastic controls
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+A Maximum Principle for Stochastic Control with Partial Information
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+A General Stochastic Maximum Principle for Optimal Control Problems
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+Backward-forward SDE's and stochastic differential games
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+Linear quadratic nonzero-sum differential games with random jumps
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+Q4139359
@@ Property / cites work: Q4139359 / rank @@
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@@ Property / cites work @@
+On the Separation Theorem of Stochastic Control
@@ Property / cites work: On the Separation Theorem of Stochastic Control / rank @@
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@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
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@@ Property / DOI @@
+.1007/S10957-008-9484-1
@@ Property / DOI: 10.1007/S10957-008-9484-1 / rank @@
+Normal rank