Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
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Publication:1661565
DOI10.1214/17-AAP1340zbMATH Open1431.60045OpenAlexW2807203558MaRDI QIDQ1661565FDOQ1661565
Andrea Cosso, Marco Fuhrman, Elena Bandini, Huyên Pham
Publication date: 16 August 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1527840029
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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Cited In (24)
- Controlled measure-valued martingales: a viscosity solution approach
- Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures
- Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
- Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation
- Backward SDEs and infinite horizon stochastic optimal control
- Stochastic \(L^1\)-optimal control via forward and backward sampling
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems II
- A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
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- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Stochastic maximum principle for problems with delay with dependence on the past through general measures
- Recurrent neural networks for stochastic control problems with delay
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- McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
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