A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
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Publication:3581014
DOI10.1137/080738465zbMath1203.49037OpenAlexW2080581734MaRDI QIDQ3581014
Jianhui Huang, Guangchen Wang, Jie Xiong
Publication date: 16 August 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10397/5878
maximum principlebackward stochastic differential equationpension fundpartial informationlinear-quadratic controlstochastic filtering
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)
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