Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
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Publication:2481925
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Cites work
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- A General Stochastic Maximum Principle for Optimal Control Problems
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- Backward Stochastic Differential Equations in Finance
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- Forward-backward stochastic differential equations and their applications
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- General necessary conditions for partially observed optimal stochastic controls
- OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
- On the Separation Theorem of Stochastic Control
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- Solution of forward-backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic Differential Utility
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
Cited in
(40)- The filtering equations of forward-backward stochastic systems with random jumps and applications to partial information stochastic optimal control
- A linear-quadratic partially observed Stackelberg stochastic differential game with application
- LQ control of Itô stochastic system with asymmetric information
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems
- The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
- Optimal control problem of backward stochastic differential delay equation under partial information
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
- Linear-quadratic-Gaussian mean-field-game with partial observation and common noise
- Linear-quadratic mean-field game for stochastic systems with partial observation
- On controllability for stochastic control systems when the coefficient is time-variant
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- A filtering problem with uncertainty in observation
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
- Non-zero sum differential games of backward stochastic differential delay equations under partial information
- Linear quadratic nonzero-sum stochastic differential game of a partially observed Markov jump linear systems
- A stochastic maximum principle for partially observed stochastic control systems with delay
- Partially observed mean-field Stackelberg stochastic differential game with two followers
- Mean-variance hedging and forward-backward stochastic differential filtering equations
- A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case
- Recursive approach of optimal Kalman filtering problem for multiparameter singularly perturbed systems
- Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance
- Partially observed time-inconsistency recursive optimization problem and application
- Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
- Backward SDEs for control with partial information
- The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps
- Relative wealth concerns with partial information and heterogeneous priors
- A maximum principle for mean-field stochastic control system with noisy observation
- Optimal premium policy of an insurance firm: full and partial information
- A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises
- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
- Linear-quadratic optimal control problems of state delay systems under full and partial information
- A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
- An optimal portfolio and consumption problem with a benchmark and partial information
- A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
- Filtering method for linear and non-linear stochastic optimal control of partially observable systems. II
- Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
- Exact controllability of forward and backward stochastic difference system
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