Optimal control problem of backward stochastic differential delay equation under partial information
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Cites work
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- A maximum principle for partial information backward stochastic control problems with applications
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- A type of general forward-backward stochastic differential equations and applications
- Adapted solution of a backward stochastic differential equation
- An introduction to stochastic filtering theory.
- Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations with time delayed generators -- results and counterexamples
- Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
- Linear-quadratic control of backward stochastic differential equations
- Mean‐Variance Portfolio Selection under Partial Information
- On the Separation Theorem of Stochastic Control
- Stochastic controls with terminal contingent conditions
- Stochastic maximum principle for optimal control problem of forward and backward system
Cited in
(22)- Stochastic maximum principle for control systems with time-varying delay
- Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control
- Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
- \(\epsilon\)-Nash mean-field games for stochastic linear-quadratic systems with delay and applications
- Optimal control problem for risk-sensitive Mean-field stochastic delay differential equation with partial information
- The delayed doubly stochastic linear quadratic optimal control problem
- Non-zero sum differential games of backward stochastic differential delay equations under partial information
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- A general maximum principle for optimal control of stochastic differential delay systems
- Linear quadratic optimal control problems of delayed backward stochastic differential equations
- A global maximum principle for stochastic optimal control problems with delay and applications
- Maximum principle for stochastic control system with elephant memory and jump diffusion
- Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs
- Stochastic maximum principle for delayed doubly stochastic control systems and their applications
- Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
- Stochastic maximum principle for delayed backward doubly stochastic control systems
- A backward stochastic delayed control problem with partial information
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