A mean-field stochastic control problem with partial observations

DOI10.1214/17-AAP1280zbMath1380.93282arXiv1702.05921MaRDI QIDQ1688031

Publication date: 4 January 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.05921

zbMATH Keywords

nonlinear filtering stochastic maximum principle conditional mean-field SDEs mean-field backward SDEs non-Markovian stochastic control system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of operator theory in systems, signals, circuits, and control theory (47N70) Optimality conditions for minimax problems (49K35) Optimality conditions for problems involving randomness (49K45)

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