The second-order maximum principle for partially observed optimal controls

DOI10.3934/MCRF.2022059OpenAlexW4312403505MaRDI QIDQ6127346

Mengzhen Li, Zhen Wu

Publication date: 12 April 2024

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2022059

zbMATH Keywords

stochastic optimal controlMalliavin calculusbackward stochastic differential equationpartial observationsecond-order maximum principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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