Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
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Cites work
- A general maximum principle for optimal control of forward-backward stochastic systems
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- A maximum principle for fully coupled stochastic control systems of mean-field type
- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- A variational formula for stochastic controls and some applications
- An introduction to optimal control of FBSDE with incomplete information
- Asymptotic expansion for forward-backward SDEs with jumps
- Backward stochastic differential equations and applications to optimal control
- Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
- scientific article; zbMATH DE number 3504682 (Why is no real title available?)
- scientific article; zbMATH DE number 7618765 (Why is no real title available?)
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
- Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
- Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information
- Partially observed optimal controls of forward-backward doubly stochastic systems
- Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
- Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
- The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
- The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
Cited in
(4)- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with Teugels martingales
- A general maximum principle for partially observed stochastic control problems with singular controls
- Maximum principle for optimal control of fully coupled mean-field forward-backward stochastic differential equations with Teugels martingales under partial observation
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