Optimal Control Problem for Risk‐Sensitive Mean‐Field Stochastic Delay Differential Equation with Partial Information

DOI10.1002/ASJC.1570zbMath1386.93311OpenAlexW2733209581WikidataQ115406485 ScholiaQ115406485MaRDI QIDQ4599972

Bin Liu, He-Ping Ma

Publication date: 5 January 2018

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.1570

zbMATH Keywords

stochastic maximum principlerisk-sensitive controlstochastic delay differential equationscontinuous dependence theoremMean-field type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (6)

A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information ⋮ Parameter estimation in uncertain delay differential equations via the method of moments ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ A maximum principle for mean-field stochastic control system with noisy observation

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