An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
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Publication:1678616
DOI10.1016/j.automatica.2017.07.018zbMath1375.93143arXiv1509.03729OpenAlexW2963640567WikidataQ115360094 ScholiaQ115360094MaRDI QIDQ1678616
Guojing Xing, Hua Xiao, Guangchen Wang
Publication date: 17 November 2017
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.03729
maximum principlerecursive utilityoptimal filtermean-field forward-backward stochastic differential equationbackward separation method
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)
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