Optimal Control of Backward Doubly Stochastic Systems With Partial Information

DOI10.1109/TAC.2014.2322212MaRDI QIDQ2982890zbMATH OpenFDO

Authors Qingfeng Zhu, Yufeng Shi

Publication date 16 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2014.2322212

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cited in

(11)

• Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• Partially observed optimal controls of forward-backward doubly stochastic systems
• Stochastic maximum principle for delayed doubly stochastic control systems and their applications
• Example for equivalence of dual and information-based optimal control
• Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes
• Forward-backward doubly stochastic differential equations with random jumps and related games
• Non-zero-sum differential games of delayed backward doubly stochastic systems and their application
• LQ control of system governed by backward stochastic difference equations and applications
• The delayed doubly stochastic linear quadratic optimal control problem
• Nonzero-sum differential game of backward doubly stochastic systems with delay and applications

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