Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
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Publication:2960128
DOI10.1002/ASJC.1310zbMATH Open1354.93174OpenAlexW2551788838MaRDI QIDQ2960128FDOQ2960128
Publication date: 7 February 2017
Published in: Asian Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asjc.1310
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forward-backward stochastic differential equationslinear-quadratic optimal controldecoupling techniquemean-field typeclassical spike variational method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cites Work
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Cited In (15)
- Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
- Discrete-time mean-field stochastic linear-quadratic optimal control problem with finite horizon
- Partially observed linear quadratic control problem with delay via backward separation method
- Optimistic Value Model of Indefinite LQ Optimal Control for Discrete‐Time Uncertain Systems
- Optimal control of mean-field jump-diffusion systems with noisy memory
- A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information
- Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- Mean-field-type games with jump and regime switching
- An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
- The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Mean-field type games between two players driven by backward stochastic differential equations
- Berge equilibrium in linear-quadratic mean-field-type games
- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
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