The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

DOI10.1137/S0363012996313100zbMATH Open0915.93068OpenAlexW1985704494MaRDI QIDQ4210180FDOQ4210180

Authors: Shanjian Tang 

Publication date: 21 September 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012996313100

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zbMATH Keywords

maximum principlebackward stochastic partial differential equationspartially observed optimal controladjoint vector fields

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
• A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators

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