Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
From MaRDI portal
Publication:1661565
Recommendations
- Stochastic optimal control for backward stochastic partial differential systems
- Backward SDEs for control with partial information
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- Backward SDEs and infinite horizon stochastic optimal control
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Backward stochastic differential equations and applications to optimal control
- On optimal control of forward-backward stochastic differential equations
- Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach
Cites work
- scientific article; zbMATH DE number 3849107 (Why is no real title available?)
- scientific article; zbMATH DE number 15045 (Why is no real title available?)
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- A stochastic target formulation for optimal switching problems in finite horizon
- Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Backward SDEs with constrained jumps and quasi-variational inequalities
- Calcul stochastique et problèmes de martingales
- Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
- Existence of Optimal Stochastic Controls and Global Solutions of Forward-Backward Stochastic Differential Equations
- Existence of an Optimal Markovian Filter for the Control under Partial Observations
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- Fundamentals of stochastic filtering
- Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
- Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
- Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump
- Stochastic Optimal Control in Infinite Dimension
- Stochastic optimal control. The discrete time case
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- Wellposedness of second order backward SDEs
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
Cited in
(25)- Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation
- Recurrent neural networks for stochastic control problems with delay
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
- 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
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Backward SDEs and infinite horizon stochastic optimal control
- Stochastic \(L^1\)-optimal control via forward and backward sampling
- Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
- Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
- Controlled measure-valued martingales: a viscosity solution approach
- Constrained BSDEs driven by a non-quasi-left-continuous random measure and optimal control of PDMPs on bounded domains
- BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
- McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
- Viscosity solutions for controlled McKean-Vlasov jump-diffusions
- Stochastic control with delayed information and related nonlinear master equation
- Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
- Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
- Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
- Finite dimensional approximations of Hamilton-Jacobi-Bellman equations in spaces of probability measures
- Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems. II
This page was built for publication: Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1661565)
