Partially observed optimal controls of forward-backward doubly stochastic systems
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Publication:2842255
DOI10.1051/cocv/2012035zbMath1269.93138OpenAlexW2138028282MaRDI QIDQ2842255
Publication date: 13 August 2013
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2012035
maximum principleadjoint equationpartially observed optimal controlfinite-dimensional spacesforward-backward doubly stochastic system
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems ⋮ Stochastic Linear-Quadratic Optimal Control with Partial Observation ⋮ Stochastic maximum principle for delayed doubly stochastic control systems and their applications ⋮ Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations ⋮ Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes ⋮ The delayed doubly stochastic linear quadratic optimal control problem ⋮ Partially observed nonzero-sum differential game of BSDEs with delay and applications
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