Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
From MaRDI portal
Publication:2983281
DOI10.1109/TAC.2013.2273265zbMath1360.93788MaRDI QIDQ2983281
Weihai Zhang, Chenghui Zhang, Guangchen Wang
Publication date: 16 May 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Related Items (44)
A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises ⋮ Stochastic linear quadratic control problem of switching systems with constraints ⋮ A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ A stochastic maximum principle for partially observed stochastic control systems with delay ⋮ Mean-field stochastic linear-quadratic optimal control with Markov jump parameters ⋮ An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information ⋮ Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps ⋮ Spectral criteria to stability and observability of mean-field stochastic periodic systems ⋮ Extended mean-field control problem with partial observation ⋮ Maximum principle for partially-observed optimal control problems of stochastic delay systems ⋮ Mean-field-type games with jump and regime switching ⋮ Well-posedness of backward stochastic partial differential equations with Lyapunov condition ⋮ Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain ⋮ Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance ⋮ An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation ⋮ An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations ⋮ Delayed Optimal Control of Stochastic LQ Problem ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations ⋮ Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach ⋮ Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type ⋮ On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information ⋮ Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures ⋮ Berge equilibrium in linear-quadratic mean-field-type games ⋮ Linear quadratic nonzero sum differential games with asymmetric information ⋮ Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs ⋮ Optimal control of mean-field jump-diffusion systems with noisy memory ⋮ A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers ⋮ A nonhomogeneous mean-field linear-quadratic optimal control problem and application ⋮ Forward and backward mean-field stochastic partial differential equation and optimal control ⋮ Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps ⋮ On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures ⋮ The maximum principle for partially observed optimal control problems of mean-field FBSDEs ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ Risk-Sensitive Mean-Field Type Control Under Partial Observation ⋮ Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes ⋮ A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information ⋮ A maximum principle for mean-field stochastic control system with noisy observation ⋮ A necessary condition for optimal control of forward-backward stochastic control system with Lévy process in nonconvex control domain case ⋮ Mean-field-type games ⋮ Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information ⋮ Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem ⋮ On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
This page was built for publication: Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
