An Introduction to Optimal Control of FBSDE with Incomplete Information

DOI10.1007/978-3-319-79039-8zbMath1400.49001OpenAlexW2804092337MaRDI QIDQ4637496

Zhen Wu, Guangchen Wang, Jie Xiong

Publication date: 23 April 2018

Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-79039-8

zbMATH Keywords

optimal controlbackward stochastic differential equationsincomplete informationpartial informationforward-backward stochastic differential equationsMalliavin derivativesoptimal premium problemsrecursive utility problems

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Existence of solutions for minimax problems (49J35) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Existence of optimal solutions to problems involving randomness (49J55) Problems with incomplete information (optimization) (49N30)

Related Items

Stackelberg stochastic differential game with asymmetric noisy observations, An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information, Extended mean-field control problem with partial observation, A general linear quadratic stochastic control and information value, Multistage uncertain random linear quadratic optimal control, Filtering method for linear and non-linear stochastic optimal control of partially observable systems II, Well-posedness of backward stochastic partial differential equations with Lyapunov condition, A linear-quadratic partially observed Stackelberg stochastic differential game with application, A kind of linear‐quadratic Pareto cooperative differential game with partial information, Optimal control for uncertain random continuous-time systems, An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications, The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps, A linear-quadratic mean-field stochastic Stackelberg differential game with random exit time, Stochastic filtering under model ambiguity, An efficient numerical algorithm for solving data driven feedback control problems, Linear quadratic control of backward stochastic differential equation with partial information, Optimal control for uncertain stochastic dynamic systems with jump and application to an advertising model, Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information, Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control, Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information, A maximum principle for mean-field stochastic control system with noisy observation