Optimal control problem of backward stochastic differential delay equation under partial information
DOI10.1016/J.SYSCONLE.2015.05.008zbMATH Open1327.93422OpenAlexW568891396WikidataQ115340975 ScholiaQ115340975MaRDI QIDQ899124FDOQ899124
Authors: Shuang Wu, Guangchen Wang 
Publication date: 21 December 2015
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2015.05.008
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maximum principlenonlinear filteringlinear quadratic optimal controlbackward stochastic differential delay equationforward-backward stochastic differential filtering equationtime-advanced stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
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- Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
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- Backward stochastic differential equations with time delayed generators -- results and counterexamples
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- Mean‐Variance Portfolio Selection under Partial Information
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- A partial information non-zero sum differential game of backward stochastic differential equations with applications
- A maximum principle for partial information backward stochastic control problems with applications
- A type of general forward-backward stochastic differential equations and applications
Cited In (22)
- Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation
- A backward stochastic delayed control problem with partial information
- Stochastic maximum principle for control systems with time-varying delay
- Maximum principle for stochastic control system with elephant memory and jump diffusion
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
- \(\epsilon\)-Nash mean-field games for stochastic linear-quadratic systems with delay and applications
- Stochastic maximum principle for delayed backward doubly stochastic control systems
- Linear quadratic optimal control problems of delayed backward stochastic differential equations
- Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
- Stochastic maximum principle for delayed doubly stochastic control systems and their applications
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control
- The delayed doubly stochastic linear quadratic optimal control problem
- Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
- A global maximum principle for stochastic optimal control problems with delay and applications
- Optimal control problem for risk-sensitive Mean-field stochastic delay differential equation with partial information
- Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs
- A general maximum principle for optimal control of stochastic differential delay systems
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application
- Non-zero sum differential games of backward stochastic differential delay equations under partial information
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