Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls

Filtering in stochastic control theory (93E11) Differential games and control (49N70) Optimal stochastic control (93E20) Impulsive control/observation systems (93C27)

Cites Work

Unnamed Item
The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
A general maximum principle for optimal control of forward-backward stochastic systems
Adapted solution of a backward stochastic differential equation
Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems
Backward-forward stochastic differential equations
Zero-sum differential games involving impulse controls
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls
Solution of forward-backward stochastic differential equations
Hyperchaotic behaviors, optimal control, and synchronization of a nonautonomous cardiac conduction system
On a nonlinear dynamical system with both chaotic and nonchaotic behaviors: a new fractional analysis and control
Nash equilibria in nonzero-sum differential games with impulse control
Stochastic global maximum principle for optimization with recursive utilities
Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
On well-posedness of forward-backward SDEs -- a unified approach
Backward stochastic differential equations and applications to optimal control
OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes
A General Stochastic Maximum Principle for Optimal Control Problems
Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
Necessary conditions of optimal impulse controls for distributed parameter systems
Stochastic Differential Utility
The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
Backward Stochastic Differential Equations in Finance
Stochastic maximum principle for optimal control problem of forward and backward system
The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls

This page was built for publication: Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls