A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information
DOI10.1051/COCV/2022039zbMATH Open1498.93795OpenAlexW4229072605WikidataQ114011446 ScholiaQ114011446MaRDI QIDQ5097299FDOQ5097299
Authors: Yiyun Yang, Qingxin Meng, Mao-ning Tang 
Publication date: 23 August 2022
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2022039
Recommendations
- Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
- Linear-quadratic optimal control problems for mean-field backward stochastic differential equations with jumps
- Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
- Stochastic control for mean-field stochastic partial differential equations with jumps
- Partial Information Linear Quadratic Control for Jump Diffusions
Hamiltonian systempartial informationRiccati equationmean-fieldlinear-quadratic optimal controladjoint processesfeedback representation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cites Work
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- A general stochastic maximum principle for SDEs of mean-field type
- Linear-quadratic control of backward stochastic differential equations
- Title not available (Why is that?)
- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
- Mean-field stochastic linear quadratic optimal control problems: open-loop solvabilities
- General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
- Optimal Control of Jump Processes
- A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
- Partial Information Linear Quadratic Control for Jump Diffusions
- An introduction to stochastic filtering theory.
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Title not available (Why is that?)
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- An optimized Crank-Nicolson finite difference extrapolating model for the fractional-order parabolic-type sine-Gordon equation
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
Cited In (13)
- Pareto efficiency of finite-horizon mean-field cooperative stochastic differential games with Poisson jumps
- Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems
- Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems
- The mean-field linear quadratic optimal control problem for stochastic systems controlled by impulses
- Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
- Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
- Stochastic control for mean-field stochastic partial differential equations with jumps
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Linear-quadratic optimal control problems for mean-field backward stochastic differential equations with jumps
- Mean field approach to stochastic control with partial information
- Partial Information Linear Quadratic Control for Jump Diffusions
- A stochastic optimal feedback control problem with random-sized jumps
- An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
This page was built for publication: A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5097299)
