Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
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Publication:2481925
DOI10.1016/j.jmaa.2007.12.072zbMath1141.93070OpenAlexW1999351264MaRDI QIDQ2481925
Publication date: 15 April 2008
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2007.12.072
stabilityFeynman-Kac formulabackward stochastic differential equationKalman-Bucy filteringrecursive optimal controllinear quadratic non-zero sum differential game
Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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