A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises

DOI10.3934/JIMO.2016.12.1287MaRDI QIDQ2358293zbMATH OpenOpenAlexFDO

Authors Haiyan Zhang

Publication date 14 June 2017

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2016.12.1287

zbMATH Keywords

filteringnecessary conditionmean-field controlLQ controlcorrelated state and observation noises

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 49106 (Why is no real title available?)
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• Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control
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• Linear-quadratic optimal control problems for mean-field stochastic differential equations
• Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
• Mean-field backward stochastic differential equations and related partial differential equations
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• On the Separation Theorem of Stochastic Control
• Optimal premium policy of an insurance firm: full and partial information
• Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
• The filtering equations of forward-backward stochastic systems with random jumps and applications to partial information stochastic optimal control
• Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

Cited in

(3)

• On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
• Optimal control problem of conditional mean-field stochastic differential equations
• An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information

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