A maximum principle for mean-field stochastic control system with noisy observation

maximum principle optimal filtering mean-field stochastic differential equation backward separation method optimal premium strategy in a feedback form

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Mean field games
Linear-quadratic optimal control problems for mean-field stochastic differential equations
A mean-field stochastic maximum principle via Malliavin calculus
Backward Stochastic Differential Equations in Finance
Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
Mean Field Games and Mean Field Type Control Theory
Discrete time mean-field stochastic linear-quadratic optimal control problems
On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
Mean-field backward stochastic differential equations: A limit approach
A stochastic maximum principle for a stochastic differential game of a mean-field type
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control
Mean field games and systemic risk
Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
Mean‐Variance Portfolio Selection under Partial Information
A mean-field stochastic control problem with partial observations
A stochastic maximum principle for general mean-field systems
Probabilistic Theory of Mean Field Games with Applications I
Optimal premium policy of an insurance firm: full and partial information
$\epsilon$-Nash mean-field games for general linear-quadratic systems with applications
Risk-Sensitive Mean-Field Type Control Under Partial Observation
Optimal Stabilization Control for Discrete-Time Mean-Field Stochastic Systems
Pareto-based guaranteed cost control of the uncertain mean-field stochastic systems in infinite horizon
Singular mean-field control games
A second-order stochastic maximum principle for generalized mean-field singular control problem
Indefinite mean-field type linear-quadratic stochastic optimal control problems
Mean field linear-quadratic control: uniform stabilization and social optimality
An Introduction to Optimal Control of FBSDE with Incomplete Information
Linear–Quadratic Mean-Field-Type Games: Jump–Diffusion Process With Regime Switching
A general stochastic maximum principle for mean-field controls with regime switching
Optimal Control Problem for Risk‐Sensitive Mean‐Field Stochastic Delay Differential Equation with Partial Information

Cited In (13)

Two-stage stochastic optimal control problem under $G$-expectation
Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
Optimal portfolio with relative performance and partial information: a mean-field game approach
Sign-indefinite static output feedback Nash strategy for mean-field stochastic systems
Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
Optimal control of LQ problem with anticipative partial observations
Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
Stochastic maximum principle for weighted mean-field system
$\epsilon$-Nash mean-field games for stochastic linear-quadratic systems with delay and applications
Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
Linear quadratic nonzero-sum mean-field stochastic differential games with regime switching
Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games

This page was built for publication: A maximum principle for mean-field stochastic control system with noisy observation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2071981)