Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises (Q4920269)
From MaRDI portal
scientific article; zbMATH DE number 6163688
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises |
scientific article; zbMATH DE number 6163688 |
Statements
Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises (English)
0 references
16 May 2013
0 references
maximum principle
0 references
forward-backward stochastic differential equation
0 references
partial information
0 references
stochastic filtering
0 references
Girsanov's theorem
0 references
Malliavin calculus
0 references
partial information optimal control problem
0 references
frameworks of linear-quadratic control
0 references
recursive utility
0 references
approximation method
0 references
observation noises
0 references
