A stochastic maximum principle for partially observed stochastic control systems with delay

DOI10.1016/J.SYSCONLE.2020.104812zbMath1454.93297arXiv2010.07270OpenAlexW3095881525MaRDI QIDQ826817

Jie Xiong, Xun Li, Shuaiqi Zhang

Publication date: 6 January 2021

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.07270

zbMATH Keywords

stochastic maximum principlepartial informationstochastic differential equation with delaypath-dependent

Mathematics Subject Classification ID

Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50)

Related Items (4)

Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Stochastic Maximum Principle for Subdiffusions and Its Applications ⋮ A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays

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