A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information

DOI10.1109/TAC.2015.2411871zbMath1360.93787DBLPjournals/tac/WangWX15OpenAlexW2075672983WikidataQ56918304 ScholiaQ56918304MaRDI QIDQ2982507

Guangchen Wang, Zhen Wu, Jie Xiong

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2015.2411871

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

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