Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
From MaRDI portal
(Redirected from Publication:2960128)
Recommendations
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- Linear-quadratic optimal control problems for mean-field backward stochastic differential equations with jumps
- Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
- A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
- Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations
- Forward-backward stochastic differential equations and backward linear quadratic stochastic optimal control problem
- Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
- Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
Cites work
- A general stochastic maximum principle for SDEs of mean-field type
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- A maximum principle for fully coupled stochastic control systems of mean-field type
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- A maximum principle for partial information backward stochastic control problems with applications
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- A maximum principle for SDEs of mean-field type
- A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
- General necessary conditions for partially observed optimal stochastic controls
- Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
- Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
- McKean-Vlasov limit for interacting random processes in random media.
- Mean field games
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations: A limit approach
- Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
- On the Separation Theorem of Stochastic Control
- Optimal Control of Stochastic Linear Distributed Parameter Systems
- Output feedback \(H_{\infty}\) control for discrete-time mean-field stochastic systems
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
- Stochastic maximum principle in the mean-field controls
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
Cited in
(26)- An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
- Mean-field type games between two players driven by backward stochastic differential equations
- Forward and backward mean-field stochastic partial differential equation and optimal control
- Mean-field-type games with jump and regime switching
- Berge equilibrium in linear-quadratic mean-field-type games
- Linear quadratic control of backward stochastic differential equation with partial information
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
- A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance
- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
- Optimistic value model of indefinite LQ optimal control for discrete-time uncertain systems
- Partially observed linear quadratic control problem with delay via backward separation method
- Extended mean-field control problem with partial observation
- A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information
- A BSDE approach to stochastic linear quadratic control problem
- The maximum principle for partially observed optimal control problems of mean-field FBSDEs
- Optimal control of mean-field jump-diffusion systems with noisy memory
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
- 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
- A variational formula of forward-backward stochastic differential system of mean-field type with observation noise and some application
- A partially observed nonzero-sum differential game of mean-field backward doubly stochastic systems
- Maximum principle for partially observed leader-follower stochastic differential game
This page was built for publication: Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2960128)
