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

DOI10.1007/S11425-009-0114-7MaRDI QIDQ1042987zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
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• A Maximum Principle for Stochastic Control with Partial Information
• A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
• Backward Stochastic Differential Equations in Finance
• Backward-forward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Solution of forward-backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic maximum principle for optimal control problem of forward and backward system
• The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
• The Mean-Variance Hedging of a Defaultable Option with Partial Information
• The variational principle for optimal control of diffusions 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
• Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
• Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
• 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
• A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
• 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
• 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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