Linear quadratic control of backward stochastic differential equation with partial information
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Publication:2242806
DOI10.1016/j.amc.2021.126164OpenAlexW3143949293WikidataQ114210995 ScholiaQ114210995MaRDI QIDQ2242806
Guangchen Wang, Wencan Wang, Zhi-Guo Yan
Publication date: 10 November 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.08032
filteringRiccati equationbackward stochastic differential equationlinear quadratic optimal controlfeedback representation
Related Items (7)
A general linear quadratic stochastic control and information value ⋮ Pareto-based Stackelberg differential game for stochastic systems with multi-followers ⋮ A kind of linear‐quadratic Pareto cooperative differential game with partial information ⋮ Stochastic Linear-Quadratic Optimal Control with Partial Observation ⋮ A class of optimal control problems of forward-backward systems with input constraint ⋮ Linear quadratic mean-field game with volatility uncertainty ⋮ A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise
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