scientific article

zbMath1344.93002MaRDI QIDQ3187139

Shuaiqi Zhang, Guangchen Wang, Jie Xiong

Publication date: 15 August 2016

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume-13-2016/No-4-16/2016-04-01.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

maximum principlestochastic optimal controlnumerical approximationforward-backward stochastic differential equationsbranching particle systempartial observationsstochastic filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Optimality conditions for problems involving randomness (49K45) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (4)

Optimal control design for a class of quantum stochastic systems with financial applications ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems II ⋮ Solving quantum stochastic LQR optimal control problem in Fock space and its application in finance ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems

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