Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
From MaRDI portal
Publication:6646282
Recommendations
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps
- Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations
- Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
- Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
Cites work
- scientific article; zbMATH DE number 3121490 (Why is no real title available?)
- scientific article; zbMATH DE number 2061775 (Why is no real title available?)
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- A maximum principle for progressive optimal control of mean-field forward-backward stochastic system involving random jumps and impulse controls
- A new risk-sensitive maximum principle
- A risk-sensitive maximum principle
- A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications
- A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
- A stochastic maximum principle for general mean-field systems
- A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps
- Classical and impulse stochastic control of the exchange rate using interest rates and reserves.
- Extended mean-field control problem with partial observation
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Maximum principle for optimal control of McKean-Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law
- Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
- Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
- On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Partially observed discrete-time risk-sensitive mean field games
- Portfolio Selection with Transaction Costs
- Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
- Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
- Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls
- Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
- Stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with Teugels martingales
- Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
This page was built for publication: Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6646282)