Partially observed time-inconsistency recursive optimization problem and application
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Publication:2247911
DOI10.1007/s10957-013-0326-4zbMath1290.49050OpenAlexW2037985387MaRDI QIDQ2247911
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
maximum principlestochastic differential equationstime-inconsistencyKalman-Bucy filteringrecursive optimizationequilibrium controlinsurance premium policy
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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