Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information

DOI10.1016/J.EJCON.2017.04.001MaRDI QIDQ1663007zbMATH OpenOpenAlexWikidataFDO

Authors Bin Liu, Heping Ma

Publication date 21 August 2018

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejcon.2017.04.001

zbMATH Keywords

partial informationstochastic maximum principleinfinite horizonmean-field modelbackward stochastic differential delay equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Optimal stochastic control (93E20)

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Cited in

(15)

• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• A backward stochastic delayed control problem with partial information
• Backward SDEs for control with partial information
• Infinite horizon optimal control of forward-backward stochastic differential equations with delay
• Infinite horizon optimal control problems of backward stochastic delay differential equations in Hilbert spaces
• Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system
• The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
• An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications
• Optimal control problem of backward stochastic differential delay equation under partial information
• Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
• A Stackelberg game of backward stochastic differential equations with partial information
• Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
• Optimal control problem for risk-sensitive Mean-field stochastic delay differential equation with partial information
• Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
• Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon

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