A Maximum Principle for Stochastic Control with Partial Information
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Publication:3446967
DOI10.1080/07362990701283128zbMath1140.93046OpenAlexW2113657696MaRDI QIDQ3446967
Fouzia Baghery, Bernt Øksendal
Publication date: 27 June 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/10549
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)
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