Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type

DOI10.1016/J.EJCON.2016.05.002MaRDI QIDQ508368zbMATH OpenOpenAlexFDO

Authors Bin Liu, Heping Ma

Publication date 10 February 2017

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejcon.2016.05.002

zbMATH Keywords

maximum principlepartial informationGirsanovs theoremrisk-sensitive optimal controlspike variational technique

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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Cites work

• A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
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• A maximum principle for partial information backward stochastic control problems with applications
• A maximum principle for partially observed optimal control of forward-backward stochastic control systems
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• A new risk-sensitive maximum principle
• A risk-sensitive maximum principle
• A risk-sensitive maximum principle: the case of imperfect state observation
• General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
• General necessary conditions for partially observed optimal stochastic controls
• Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Mean-field backward stochastic differential equations: A limit approach
• Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions
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• Risk sensitive stochastic control and differential games
• Risk-Sensitive Mean-Field Games
• Risk-sensitive control with HARA utility
• Risk-sensitive linear/quadratic/gaussian control
• Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
• Stochastic maximum principle in the mean-field controls
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

Cited in

(22)

• Partially observed nonlinear risk-sensitive optimal stopping control for nonlinear discrete-time systems
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
• Optimal control of mean-field jump-diffusion systems with noisy memory
• Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
• Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• Stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with Teugels martingales
• Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
• A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps
• Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
• Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
• A maximum principle for mean-field stochastic control system with noisy observation
• Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
• Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
• The maximum principle for partially observed optimal control problems of mean-field FBSDEs
• Mean-field type games between two players driven by backward stochastic differential equations
• Partially observed risk-sensitive stochastic control problems with non-convexity restriction
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• Berge equilibrium in linear-quadratic mean-field-type games
• General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance

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