Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
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Publication:2003808
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Cites work
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- An introduction to optimal control of FBSDE with incomplete information
- Anticipated backward stochastic differential equations
- Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
- Asset and liability management under a continuous-time mean-variance optimization framework
- Backward Stochastic Differential Equations in Finance
- Forward-backward linear quadratic stochastic optimal control problem with delay
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
- Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls
- Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes
- Maximum principle for the stochastic optimal control problem with delay and application
- Optimal consumption and portfolio selection with stochastic differential utility
- Solution of forward-backward stochastic differential equations
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
Cited in
(16)- Stochastic linear-quadratic control problems with affine constraints
- Sufficient maximum principle for stochastic optimal control problems with general delays
- Linear-quadratic mean-field game for stochastic systems with partial observation
- Explicit solution to forward and backward stochastic differential equations with state delay and its application to optimal control
- Linear quadratic optimal control for time-delay stochastic system with partial information
- A stochastic maximum principle for partially observed stochastic control systems with delay
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
- LQ control of forward and backward stochastic difference system
- Linear quadratic optimal control problems of delayed backward stochastic differential equations
- Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
- Explicit solution to delayed forward and backward stochastic differential equations
- Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
- Linear-quadratic optimal control problems of state delay systems under full and partial information
- Partially observed risk-sensitive stochastic control problems with non-convexity restriction
- Equilibrium pairs trading under delayed cointegration
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