Partially observed risk-sensitive stochastic control problems with non-convexity restriction

DOI10.1007/s11424-023-1089-0zbMath1521.93204OpenAlexW4366372832MaRDI QIDQ6076827

He-Ping Ma, Ruijing Li

Publication date: 22 September 2023

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-023-1089-0

zbMATH Keywords

maximum principleGirsanov's theorempartial informationrisk-sensitive optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Unnamed Item
• Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
• A maximum principle for SDEs of mean-field type
• A general stochastic maximum principle for SDEs of mean-field type
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• Mean-field backward stochastic differential equations and related partial differential equations
• A stochastic maximum principle for partially observed stochastic control systems with delay
• Mean-field backward stochastic differential equations: A limit approach
• Mean field games
• Risk-sensitive dynamic asset management
• Stochastic maximum principle in the mean-field controls
• Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• Zero-sum stochastic differential games with risk-sensitive cost
• A maximum principle for fully coupled stochastic control systems of mean-field type
• A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
• Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
• A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
• Risk-sensitive linear/quadratic/gaussian control
• The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
• Optimal Control Problem for Risk‐Sensitive Mean‐Field Stochastic Delay Differential Equation with Partial Information
• The Partially Observed Stochastic Minimum Principle
• General necessary conditions for partially observed optimal stochastic controls
• Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
• Generalized Risk-Sensitive Optimal Control and Hamilton–Jacobi–Bellman Equation
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
• Linear Exponential Quadratic Control for Mean Field Stochastic Systems
• A new risk-sensitive maximum principle

This page was built for publication: Partially observed risk-sensitive stochastic control problems with non-convexity restriction