The Filtering Equations of Forward-Backward Stochastic Systems with Random Jumps and Applications to Partial Information Stochastic Optimal Control

DOI10.1080/07362994.2010.515480zbMath1205.60117OpenAlexW2156346167MaRDI QIDQ3068100

Guangchen Wang, Hua Xiao

Publication date: 13 January 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2010.515480

zbMATH Keywords

optimal controlforward-backward stochastic differential equationstochastic filteringrandom jump

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites Work

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