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Risk-Sensitive Mean-Field Type Control Under Partial Observation - MaRDI portal

Risk-Sensitive Mean-Field Type Control Under Partial Observation (Q2801796)

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Language	Label	Description	Also known as
English	Risk-Sensitive Mean-Field Type Control Under Partial Observation	scientific article

Statements

scholarly article

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Risk-Sensitive Mean-Field Type Control Under Partial Observation (English)

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Boualem Djehiche

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Hamidou Tembine

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Stochastics of Environmental and Financial Economics

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publication date

22 April 2016

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full work available at URL

https://arxiv.org/abs/1411.7231

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zbMATH Keywords

time inconsistent control

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maximum principle

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mean-field SDE

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risk-sensitive control

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partial observation

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MaRDI profile type

MaRDI publication profile

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A maximum principle for SDEs of mean-field type

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The Partially Observed Stochastic Minimum Principle

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Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

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Mean-field backward stochastic differential equations and related partial differential equations

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Partially observable nonlinear risk-sensitive control problems: dynamic programming and verification theorems

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Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions

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Dynamic Programming Conditions for Partially Observable Stochastic Systems

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BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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Optimal Control of Partially Observable Diffusions

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The Maximum Principle for Optimal Control of Diffusions with Partial Information

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A stochastic maximum principle for a stochastic differential game of a mean-field type

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A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications

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Nonlinear SDEs driven by L\'evy processes and related PDEs

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A minimum principle for stochastic control problems with output feedback

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Stochastic maximum principle in the mean-field controls

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General necessary conditions for partially observed optimal stochastic controls

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The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

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Risk-Sensitive Mean-Field Games

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Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information

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A risk-sensitive maximum principle: the case of imperfect state observation

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On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations

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Identifiers

zbMATH Open document ID

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10.1007/978-3-319-23425-0_9

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2801796

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