Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises
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Publication:4920269
DOI10.1137/110846920zbMath1262.93027OpenAlexW2010028278MaRDI QIDQ4920269
Zhen Wu, Guangchen Wang, Jie Xiong
Publication date: 16 May 2013
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/110846920
maximum principleMalliavin calculusapproximation methodGirsanov's theorempartial informationrecursive utilityforward-backward stochastic differential equationstochastic filteringobservation noisesframeworks of linear-quadratic controlpartial information optimal control problem
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) Optimality conditions for problems involving randomness (49K45)
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