Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
DOI10.1016/J.EJCON.2017.04.001zbMATH Open1506.93102OpenAlexW2606270921WikidataQ115353983 ScholiaQ115353983MaRDI QIDQ1663007FDOQ1663007
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
partial informationstochastic maximum principleinfinite horizonmean-field modelbackward stochastic differential delay equation
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 (8)
- Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
- 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
- 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
- Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
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