A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information

DOI10.1007/S11425-009-0114-7zbMATH Open1176.93083OpenAlexW2040477284MaRDI QIDQ1042987FDOQ1042987

Authors: Qingxin Meng 

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-009-0114-7

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zbMATH Keywords

maximum principlepartial informationstochastic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Optimality conditions for free problems in two or more independent variables (49K10)

Cites Work

• Forward-backward stochastic differential equations and their applications
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A Maximum Principle for Stochastic Control with Partial Information
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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• Backward Stochastic Differential Equations in Finance
• Solution of forward-backward stochastic differential equations
• A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
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• Stochastic maximum principle for optimal control problem of forward and backward system
• The variational principle for optimal control of diffusions with partial information
• The Mean-Variance Hedging of a Defaultable Option with Partial Information

Cited In (23)

• Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
• A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
• Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
• Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
• Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
• On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
• Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
• A maximum principle for a class of stochastic control problems with partial information
• Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
• Partially observable stochastic optimal control
• A maximum principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems
• Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
• A maximum principle for partial information backward stochastic control problems with applications
• A general maximum principle for optimal control of forward-backward stochastic systems
• Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
• The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
• Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
• Stochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equation
• Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
• Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
• A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications

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