A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information

DOI10.1007/s12190-010-0438-zzbMath1291.60126OpenAlexW2036610666MaRDI QIDQ2251741

Hua Xiao, Guangchen Wang

Publication date: 15 July 2014

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-010-0438-z

zbMATH Keywords

optimal controlmaximum principlefilteringpartial informationforward-backward stochastic differential equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (4)

Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type ⋮ Linear quadratic nonzero sum differential games with asymmetric information ⋮ Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type

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