Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
From MaRDI portal
Publication:2960128
DOI10.1002/asjc.1310zbMath1354.93174OpenAlexW2551788838MaRDI QIDQ2960128
Publication date: 7 February 2017
Published in: Asian Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asjc.1310
linear-quadratic optimal controlforward-backward stochastic differential equationsdecoupling techniquemean-field typeclassical spike variational method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items
Optimistic Value Model of Indefinite LQ Optimal Control for Discrete‐Time Uncertain Systems, Mean-field-type games with jump and regime switching, Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps, A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information, Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations, Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach, Berge equilibrium in linear-quadratic mean-field-type games, Mean-field type games between two players driven by backward stochastic differential equations, Optimal control of mean-field jump-diffusion systems with noisy memory, The optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processes
Cites Work
- A maximum principle for SDEs of mean-field type
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- A general stochastic maximum principle for SDEs of mean-field type
- Mean-field backward stochastic differential equations and related partial differential equations
- Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
- Mean-field backward stochastic differential equations: A limit approach
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
- Mean field games
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- McKean-Vlasov limit for interacting random processes in random media.
- Stochastic maximum principle in the mean-field controls
- A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
- A maximum principle for fully coupled stochastic control systems of mean-field type
- Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
- Output FeedbackH∞Control for Discrete-time Mean-field Stochastic Systems
- Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
- A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- Optimal Control of Stochastic Linear Distributed Parameter Systems
- General necessary conditions for partially observed optimal stochastic controls
- Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
- On the Separation Theorem of Stochastic Control
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
