Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
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Publication:2481925
DOI10.1016/J.JMAA.2007.12.072zbMATH Open1141.93070OpenAlexW1999351264MaRDI QIDQ2481925FDOQ2481925
Publication date: 15 April 2008
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2007.12.072
stabilitybackward stochastic differential equationFeynman-Kac formulaKalman-Bucy filteringrecursive optimal controllinear quadratic non-zero sum differential game
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)
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Cited In (40)
- On controllability for stochastic control systems when the coefficient is time-variant
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- A stochastic maximum principle for partially observed stochastic control systems with delay
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- LQ control of Itô stochastic system with asymmetric information
- Linear-quadratic-Gaussian mean-field-game with partial observation and common noise
- Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information
- A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- The Filtering Equations of Forward-Backward Stochastic Systems with Random Jumps and Applications to Partial Information Stochastic Optimal Control
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems
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- Linear-quadratic optimal control problems of state delay systems under full and partial information
- Partially observed mean-field Stackelberg stochastic differential game with two followers
- Backward SDEs for control with partial information
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- A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises
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- Exact controllability of forward and backward stochastic difference system
- A filtering problem with uncertainty in observation
- Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
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- A linear-quadratic partially observed Stackelberg stochastic differential game with application
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- A partial information non-zero sum differential game of backward stochastic differential equations with applications
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- A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
- An optimal portfolio and consumption problem with a benchmark and partial information
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- Relative wealth concerns with partial information and heterogeneous priors
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- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
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- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
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