Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
DOI10.1016/J.AUTOMATICA.2020.109169zbMATH Open1448.93348OpenAlexW3048060871MaRDI QIDQ2003808FDOQ2003808
Authors: Na Li, Guangchen Wang, Zhen Wu 
Publication date: 5 October 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2020.109169
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forward-backward stochastic differential equationoptimal filteringrecursive utilitytime-delayLQ optimal control
Stochastic functional-differential equations (34K50) Linear-quadratic optimal control problems (49N10) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Delay control/observation systems (93C43)
Cites Work
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- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance
- An introduction to optimal control of FBSDE with incomplete information
Cited In (16)
- A stochastic maximum principle for partially observed stochastic control systems with delay
- Sufficient maximum principle for stochastic optimal control problems with general delays
- LQ control of forward and backward stochastic difference system
- Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
- Stochastic linear-quadratic control problems with affine constraints
- Explicit solution to delayed forward and backward stochastic differential equations
- Linear-quadratic optimal control problems of state delay systems under full and partial information
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
- Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
- Linear quadratic optimal control problems of delayed backward stochastic differential equations
- Equilibrium pairs trading under delayed cointegration
- Linear quadratic optimal control for time-delay stochastic system with partial information
- Linear-quadratic mean-field game for stochastic systems with partial observation
- Partially observed risk-sensitive stochastic control problems with non-convexity restriction
- Explicit solution to forward and backward stochastic differential equations with state delay and its application to optimal control
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