Partially observed time-inconsistency recursive optimization problem and application

DOI10.1007/s10957-013-0326-4zbMath1290.49050OpenAlexW2037985387MaRDI QIDQ2247911

Haiyang Wang, Zhen Wu

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0326-4

zbMATH Keywords

maximum principlestochastic differential equationstime-inconsistencyKalman-Bucy filteringrecursive optimizationequilibrium controlinsurance premium policy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45)

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