The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
From MaRDI portal
Publication:4210180
DOI10.1137/S0363012996313100zbMath0915.93068MaRDI QIDQ4210180
Publication date: 21 September 1998
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
maximum principle; backward stochastic partial differential equations; partially observed optimal control; adjoint vector fields
93E20: Optimal stochastic control
Related Items
A maximum principle for controlled stochastic factor model, Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations, Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps, On the Cauchy-Dirichlet problem in a half space for backward SPDEs in weighted Hölder spaces, Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations, Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions, On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces, The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps, \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space, On the quasi-linear reflected backward stochastic partial differential equations, \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators, A maximum principle for partially observed optimal control of forward-backward stochastic control systems, Optimality conditions for partial information stochastic control problems driven by Lévy processes, Maximum principle for quasi-linear backward stochastic partial differential equations, Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems, Maximum principle for stochastic differential games with partial information, A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information, Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach, Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type, Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains, Partially observed time-inconsistency recursive optimization problem and application, Backward stochastic partial differential equations with quadratic growth, Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process, Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations, Maximum principle for partially-observed optimal control problems of stochastic delay systems, Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems, A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\), A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems, Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity, Risk-Sensitive Mean-Field Type Control Under Partial Observation, Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type, The Filtering Equations of Forward-Backward Stochastic Systems with Random Jumps and Applications to Partial Information Stochastic Optimal Control, A mean-field stochastic maximum principle via Malliavin calculus, A Maximum Principle for Stochastic Control with Partial Information, A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
