A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle

DOI10.1007/S40072-023-00294-WzbMATH Open1537.93796MaRDI QIDQ6548536FDOQ6548536

Authors: Hexiang Wan, Guangchen Wang, Jie Xiong 

Publication date: 1 June 2024

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

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zbMATH Keywords

maximum principleforward-backward stochastic differential equationZakai equationbranching particle systemstochastic gradient decentoptimal control of partially observed system

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

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