Optimal control problem of backward stochastic differential delay equation under partial information

DOI10.1016/j.sysconle.2015.05.008zbMath1327.93422OpenAlexW568891396WikidataQ115340975 ScholiaQ115340975MaRDI QIDQ899124

Shuang Wu, Guangchen Wang

Publication date: 21 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.sysconle.2015.05.008

zbMATH Keywords

maximum principlenonlinear filteringlinear quadratic optimal controlbackward stochastic differential delay equationforward-backward stochastic differential filtering equationtime-advanced stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

Related Items (12)

Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information ⋮ Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps ⋮ Stochastic maximum principle for delayed doubly stochastic control systems and their applications ⋮ Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information ⋮ Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application ⋮ Stochastic maximum principle for delayed backward doubly stochastic control systems ⋮ Linear quadratic optimal control problems of delayed backward stochastic differential equations ⋮ A global maximum principle for stochastic optimal control problems with delay and applications ⋮ Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control ⋮ A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information ⋮ The delayed doubly stochastic linear quadratic optimal control problem ⋮ Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory

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