Optimal control of LQ problem with anticipative partial observations
From MaRDI portal
Publication:6607540
DOI10.1016/j.ejcon.2024.101095zbMATH Open1542.93416MaRDI QIDQ6607540
Publication date: 18 September 2024
Published in: European Journal of Control (Search for Journal in Brave)
Riccati equationlinear filteringenlargement of filtrationmartingale representation theoremanticipative LQ problem
Filtering in stochastic control theory (93E11) Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An enlargement of filtration for Brownian motion
- An anticipative linear filtering equation
- Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran
- Random times and enlargements of filtrations in a Brownian setting.
- A mean-field stochastic control problem with partial observations
- Partially informed noise traders
- On the anticipative nonlinear filtering problem and its stability
- A maximum principle for mean-field stochastic control system with noisy observation
- Indefinite risk-sensitive control
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- A Maximum Principle for Partial Information Backward Stochastic Control Problems with Applications
- Continuous Auctions and Insider Trading
- An Introduction to Optimal Control of FBSDE with Incomplete Information
- Kalman Filtering
- On the Separation Theorem of Stochastic Control
- Stochastic differential equations. An introduction with applications.
- Stochastic Linear-Quadratic Optimal Control with Partial Observation
- Linear quadratic tracking with continuous conformable derivatives
- New results in linear filtering and prediction theory
This page was built for publication: Optimal control of LQ problem with anticipative partial observations
