A mean-field stochastic control problem with partial observations

DOI10.1214/17-AAP1280zbMath1380.93282arXiv1702.05921MaRDI QIDQ1688031

Publication date: 4 January 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.05921

zbMATH Keywords

nonlinear filtering; stochastic maximum principle; conditional mean-field SDEs; mean-field backward SDEs; non-Markovian stochastic control system

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

47N70: Applications of operator theory in systems, signals, circuits, and control theory

49K35: Optimality conditions for minimax problems

49K45: Optimality conditions for problems involving randomness

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