Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
From MaRDI portal
Publication:508368
DOI10.1016/j.ejcon.2016.05.002zbMath1355.93213OpenAlexW2397732007MaRDI QIDQ508368
Publication date: 10 February 2017
Published in: European Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejcon.2016.05.002
maximum principlepartial informationGirsanovs theoremrisk-sensitive optimal controlspike variational technique
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)
Related Items (13)
Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information ⋮ Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance ⋮ Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps ⋮ Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls ⋮ Berge equilibrium in linear-quadratic mean-field-type games ⋮ Mean-field type games between two players driven by backward stochastic differential equations ⋮ Optimal control of mean-field jump-diffusion systems with noisy memory ⋮ Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
Cites Work
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems
- A general stochastic maximum principle for SDEs of mean-field type
- Mean-field backward stochastic differential equations: A limit approach
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
- General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
- A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information
- Stochastic maximum principle in the mean-field controls
- A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
- A risk-sensitive maximum principle
- Risk sensitive stochastic control and differential games
- A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
- Risk-Sensitive Mean-Field Games
- Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance
- Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
- A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
- Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
- Risk-sensitive linear/quadratic/gaussian control
- A risk-sensitive maximum principle: the case of imperfect state observation
- Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions
- Risk-sensitive control with HARA utility
- General necessary conditions for partially observed optimal stochastic controls
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- A new risk-sensitive maximum principle
This page was built for publication: Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
