Partially observed linear quadratic control problem with delay via backward separation method

DOI10.1002/oca.2291zbMath1373.93387OpenAlexW2549974084MaRDI QIDQ4588825

Shuang Wu, Lan Shu

Publication date: 2 November 2017

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2291

zbMATH Keywords

linear-quadratic optimal controlnonlinear filteringanticipated backward stochastic differential equationstochastic differential delay equationbackward separation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic systems in control theory (general) (93E03)

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A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Linear-quadratic optimal control problems of state delay systems under full and partial information ⋮ Linear quadratic optimal control problems of delayed backward stochastic differential equations ⋮ A Partially Observed Nonzero‐Sum Stochastic Differential Game with Delays and its Application to Finance ⋮ A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information

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