A backward stochastic delayed control problem with partial information

MaRDI QIDQ5371416zbMATH OpenFDO

Authors Shuang Wu, Lan Shu, Zhiwen Mo

Publication date 20 October 2017

zbMATH Keywords

adjoint equationbackward stochastic differential delay equationfilterpartial information

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(3)

• Stochastic control with delayed information and related nonlinear master equation
• Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs
• Optimal control problem of backward stochastic differential delay equation under partial information

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