The Maximum Principle for Optimal Control of Diffusions with Partial Information
From MaRDI portal
adjoint processcontrolled diffusionsmaximum principlenecessary conditionsnonlinear filteringpartial observations
Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)
Recommendations
- scientific article; zbMATH DE number 3972777
- General necessary conditions for partially observed optimal stochastic controls
- Necessary Conditions of Optimization for Partially Observed Controlled Diffusions
- Optimal control of observations in the filtering of diffusion processes. I
- Control of partially observed diffusions
Cited in
(35)- General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
- Optimal control of observations in the filtering of diffusion processes. II
- Control of partially observed diffusions
- LQ control of Itô stochastic system with asymmetric information
- An efficient numerical algorithm for solving data driven feedback control problems
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition
- Risk-Sensitive Mean-Field Type Control Under Partial Observation
- Information Relaxation and Dual Formulation of Controlled Markov Diffusions
- scientific article; zbMATH DE number 4213893 (Why is no real title available?)
- On the Minimum Principle for Controlled Diffusions on Manifolds
- scientific article; zbMATH DE number 3972777 (Why is no real title available?)
- scientific article; zbMATH DE number 29647 (Why is no real title available?)
- A risk-sensitive maximum principle: the case of imperfect state observation
- The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
- Necessary Conditions of Optimization for Partially Observed Controlled Diffusions
- Stochastic adaptive control with small observation noise
- A general maximum principle for optimal control of forward-backward stochastic systems
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
- A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- A general maximum principle for partially observed stochastic evolution control systems
- Multilevel Picard iterations for parabolic stochastic partial differential equations
- Partially observable optimal control using exponential cost criterion
- Path integral control of partially observed systems via fully observable control approximations
- Maximum principles for conditional mean field type control problems under partial and full observation with applications
- Linear-convex partially observed optimal control problem with Markov chain and input constraint
- Assimilating partial observation to enhance feedback control of stochastic dynamical systems
- Optimal control of stochastic partial differential equations with partial observations: stochastic maximum principles and numerical approximation
- A production-inventory problem with price-sensitive demand
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
This page was built for publication: The Maximum Principle for Optimal Control of Diffusions with Partial Information
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3754547)
