Maximum principles for forward-backward stochastic control systems with correlated state and observation noises (Q4920269)
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scientific article; zbMATH DE number 6163688
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| 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)
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16 May 2013
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maximum principle
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forward-backward stochastic differential equation
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partial information
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stochastic filtering
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Girsanov's theorem
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Malliavin calculus
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partial information optimal control problem
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frameworks of linear-quadratic control
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recursive utility
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approximation method
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observation noises
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0.8843623399734497
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0.8829807043075562
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0.8695151805877686
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0.8619133830070496
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