Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information (Q1663007): Difference between revisions

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English	Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information	scientific article

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scholarly article

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title

Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information (English)

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European Journal of Control

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publication date

21 August 2018

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zbMATH Keywords

infinite horizon

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backward stochastic differential delay equation

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mean-field model

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stochastic maximum principle

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partial information

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejcon.2017.04.001

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cites work

A Maximum Principle for Infinite Horizon Delay Equations

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Infinite horizon optimal control of forward-backward stochastic differential equations with delay

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Optimal control of forward-backward mean-field stochastic delayed systems

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A maximum principle for SDEs of mean-field type

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Backward stochastic differential equations and integral-partial differential equations

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A general stochastic maximum principle for SDEs of mean-field type

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Mean-field backward stochastic differential equations: A limit approach

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Mean-field backward stochastic differential equations and related partial differential equations

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Maximum principle for the stochastic optimal control problem with delay and application

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Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

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Backward stochastic differential equations with time delayed generators -- results and counterexamples

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Maximum principles for jump diffusion processes with infinite horizon

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Necessary Conditions for Optimal Control Problems with Infinite Horizons

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Q3236483

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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Mean field games

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Stochastic maximum principle in the mean-field controls

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A maximum principle for fully coupled stochastic control systems of mean-field type

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Q4139359

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Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach

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A mean-field stochastic maximum principle via Malliavin calculus

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Q3707054

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Q4263364

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Q4029028

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Adapted solution of a backward stochastic differential equation

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Infinite horizon forward-backward stochastic differential equations

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Anticipated backward stochastic differential equations

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Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance

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Optimal control problem of backward stochastic differential delay equation under partial information

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On solutions of a class of infinite horizon FBSDEs

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Identifiers

zbMATH Open document ID

1506.93102

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DOI

10.1016/j.ejcon.2017.04.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1663007

@@ Property / cites work @@
+A Maximum Principle for Infinite Horizon Delay Equations
+Normal rank
@@ Property / cites work @@
+Infinite horizon optimal control of forward-backward stochastic differential equations with delay
+Normal rank
@@ Property / cites work @@
+Optimal control of forward-backward mean-field stochastic delayed systems
+Normal rank
@@ Property / cites work @@
+A maximum principle for SDEs of mean-field type
@@ Property / cites work: A maximum principle for SDEs of mean-field type / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+A general stochastic maximum principle for SDEs of mean-field type
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations: A limit approach
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations and related partial differential equations
+Normal rank
@@ Property / cites work @@
+Maximum principle for the stochastic optimal control problem with delay and application
+Normal rank
@@ Property / cites work @@
+Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with time delayed generators -- results and counterexamples
+Normal rank
@@ Property / cites work @@
+Maximum principles for jump diffusion processes with infinite horizon
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control Problems with Infinite Horizons
+Normal rank
@@ Property / cites work @@
+Q3236483
@@ Property / cites work: Q3236483 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle in the mean-field controls
+Normal rank
@@ Property / cites work @@
+A maximum principle for fully coupled stochastic control systems of mean-field type
+Normal rank
@@ Property / cites work @@
+Q4139359
@@ Property / cites work: Q4139359 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
+Normal rank
@@ Property / cites work @@
+A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
+Normal rank
@@ Property / cites work @@
+Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
+Normal rank
@@ Property / cites work @@
+A mean-field stochastic maximum principle via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Q3707054
@@ Property / cites work: Q3707054 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4263364
@@ Property / cites work: Q4263364 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Infinite horizon forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Anticipated backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
+Normal rank
@@ Property / cites work @@
+Optimal control problem of backward stochastic differential delay equation under partial information
+Normal rank
@@ Property / cites work @@
+On solutions of a class of infinite horizon FBSDEs
+Normal rank