The maximum principle for partially observed optimal control problems of mean-field FBSDEs

DOI10.1080/00207179.2018.1441555zbMath1423.93418OpenAlexW2792787117WikidataQ130188771 ScholiaQ130188771MaRDI QIDQ5197951

Fengyun Fu, Ruijing Li

Publication date: 2 October 2019

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2018.1441555

zbMATH Keywords

maximum principleGirsanov's theoremstochastic filteringmean-field SDEextended Ekeland's variational principle

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Existence theories for optimal control problems involving ordinary differential equations (49J15) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (6)

Extended mean-field control problem with partial observation ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps ⋮ A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure ⋮ A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach

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