Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach

DOI10.1214/17-AAP1340zbMath1431.60045OpenAlexW2807203558MaRDI QIDQ1661565

Andrea Cosso, Marco Fuhrman, Elena Bandini, Huyên Pham

Publication date: 16 August 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1527840029

zbMATH Keywords

backward SDEspath-dependent controlled sdesrandomization of controlsstochastic optimal control with partial observation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (20)

Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems II ⋮ Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls ⋮ Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation ⋮ Kolmogorov equations on spaces of measures associated to nonlinear filtering processes ⋮ Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem ⋮ Stochastic Control with Delayed Information and Related Nonlinear Master Equation ⋮ Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions ⋮ BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions ⋮ Recurrent neural networks for stochastic control problems with delay ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Stochastic maximum principle for problems with delay with dependence on the past through general measures ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains ⋮ Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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