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

DOI10.3934/JIMO.2016.12.1287zbMATH Open1364.93819OpenAlexW2527524458MaRDI QIDQ2358293FDOQ2358293

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

Recommendations

• An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
• Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
• A mean-field stochastic control problem with partial observations
• Extended mean-field control problem with partial observation
• Optimal control problem of conditional mean-field stochastic differential equations

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)

Cites Work

• Linear-quadratic optimal control problems for mean-field stochastic differential equations
• A mean-field stochastic maximum principle via Malliavin calculus
• Title not available (Why is that?)
• On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
• A mean-field necessary and sufficient conditions for optimal singular stochastic control
• Discrete time mean-field stochastic linear-quadratic optimal control problems
• Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
• A maximum principle for SDEs of mean-field type
• On the Separation Theorem of Stochastic Control
• Mean-field backward stochastic differential equations and related partial differential equations
• Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control
• Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
• Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
• A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
• An introduction to stochastic filtering theory.
• Optimal premium policy of an insurance firm: full and partial information
• Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
• The filtering equations of forward-backward stochastic systems with random jumps and applications to partial information stochastic optimal control

Cited In (2)

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

This page was built for publication: A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2358293)