Optimal control problem of backward stochastic differential delay equation under partial information
DOI10.1016/J.SYSCONLE.2015.05.008zbMATH Open1327.93422OpenAlexW568891396WikidataQ115340975 ScholiaQ115340975MaRDI QIDQ899124FDOQ899124
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
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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Cited In (17)
- Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under 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
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- 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
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