The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

From MaRDI portal
Publication:4974597

DOI10.1109/TAC.2009.2019794zbMath1367.93725MaRDI QIDQ4974597

Zhen Wu, Guangchen Wang

Publication date: 8 August 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)




Related Items (58)

LQ control of Itô stochastic system with asymmetric informationStackelberg stochastic differential game with asymmetric noisy observationsBackward-forward linear-quadratic mean-field Stackelberg gamesThe maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumpsExtended mean-field control problem with partial observationStochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controlsMaximum principle for optimal control problems of forward-backward regime-switching system and applicationsMaximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controlsGlobal maximum principle for the forward-backward stochastic optimal control problem with poisson jumpsMean-field-type games with jump and regime switchingConnection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General CaseThe general maximum principle for stochastic control problems with singular controlsMaximum principle for partially observed stochastic recursive optimal control problems involving impulse controlsStochastic maximum principle for recursive optimal control problems with varying terminal timeStochastic maximum principle for hybrid optimal control problems under partial observationPartially observed risk-sensitive stochastic control problems with non-convexity restrictionA general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structureLinear-quadratic partially observed forward-backward stochastic differential games and its application in financeLinear quadratic optimal control for time-delay stochastic system with partial informationNecessary conditions for optimal control of forward-backward stochastic systems with random jumpsMaximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programmingThe maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizonA general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chainLinear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field TypeThe Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random JumpsLinear-quadratic optimal control problems of state delay systems under full and partial informationRecursive StochasticH2/HControl Problem for Delay Systems Involving Continuous and Impulse ControlsMean-variance hedging and forward-backward stochastic differential filtering equationsNon-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and applicationMaximum principle for stochastic recursive optimal control problems involving impulse controls\(H_\infty\) synchronization of uncertain stochastic time-varying delay systems with exogenous disturbance via intermittent controlStochastic maximum principle of near-optimal control of fully coupled forward-backward stochastic differential equationA general maximum principle for optimal control of forward-backward stochastic systemsSocial optima of backward linear-quadratic-Gaussian mean-field teamsMaximum principle for partially observed risk-sensitive optimal control problems of mean-field typeRelationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusionsA necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial informationLinear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial informationMaximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systemsThe maximum principle for partially observed optimal control problems of mean-field FBSDEsA Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systemsThe Filtering Equations of Forward-Backward Stochastic Systems with Random Jumps and Applications to Partial Information Stochastic Optimal ControlMaximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switchingStochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to financeForward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertaintyBackward-forward linear-quadratic mean-field games with major and minor agentsLinear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric informationVerification Theorem Of Stochastic Optimal Control With Mixed Delay And Applications To FinanceA linear-quadratic optimal control problem of stochastic differential equations with delay and partial informationThe optimal control of fully-coupled forward-backward doubly stochastic systems driven by Itô-Lévy processesPartially observed nonzero-sum differential game of BSDEs with delay and applicationsA partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in financeMean-field-type gamesA second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systemsA variational formula for controlled backward stochastic partial differential equations and some applicationsStochastic recursive optimal control problem with obstacle constraint involving diffusion type controlDynamic optimization of large-population systems with partial informationStochastic recursive optimal control problem with time delay and applications




This page was built for publication: The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information