A maximum principle for partial information backward stochastic control problems with applications
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Publication:3581014
DOI10.1137/080738465zbMATH Open1203.49037OpenAlexW2080581734MaRDI QIDQ3581014FDOQ3581014
Authors: Jianhui Huang, Guangchen Wang, Jie Xiong 
Publication date: 16 August 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10397/5878
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maximum principlebackward stochastic differential equationpartial informationstochastic filteringlinear-quadratic controlpension fund
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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